Concept
stochastic simulation
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Children
Discrete Event SimulationForecastingInput AnalysisMarkov ChainsModel Uncertainty
9.7K
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604.6K
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18.8K
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3.9K
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Discrete-Event Stochastic Simulation
1971 - 2000
The 1971–2000 period formalized discrete-event stochastic simulation as a core tool for modeling time-evolving systems driven by random events. It saw the emergence of exact stochastic simulation methods for generating precise sample paths in reaction networks and other event-driven processes, complemented by probabilistic inference techniques such as sequential Monte Carlo and Markov chain Monte Carlo to estimate evolving states and perform Bayesian analysis. Efforts in variance reduction, sensitivity estimation, and numerical integration of stochastic dynamics improved both the efficiency and accuracy of simulations, while experimental design and run-time management practices provided reliable quantification of bias, variance, and initialization effects.
• Discrete-event system modeling matured around generalized semi-Markov processes (GSMP) and regenerative-process theory, enabling rigorous analysis and simulation of complex queuing and networked systems with structured regeneration properties [3], [19], [18], [8], [1].
• Variance reduction and sensitivity estimation techniques improve efficiency and accuracy of stochastic simulations, including likelihood-ratio methods, infinitesimal perturbation analysis and randomization-based approaches for transient or gradient computations [11], [14], [4], [2], [16].
• Spectral and numerical approaches for stochastic process simulation to generate accurate sample paths efficiently, notably spectral representation for Gaussian processes and numeric integration of stochastic differential equations [7], [15].
• Experiment design, startup policies, and run-time management in simulation studies to quantify bias, variance, and truncation effects, enabling reliable estimates under different initialization and run-length assumptions [10], [1], [18].
• Optimization and control of stochastic and regenerative systems leveraging gradient-like estimators and infinitesimal perturbation analysis, including convergence proofs and sensitivity-based optimization [6], [20], [5], [14].
Accelerated Tau-Leap Simulation
2001 - 2007
Multilevel and Geometry-Aware Inference
2008 - 2014
Unbiased Multilevel Stochastic Inference
2015 - 2017
Non-Reversible PDMP Sampling
2018 - 2024