Concepedia

Concept

stochastic simulation

Parents

Children

9.7K

Publications

604.6K

Citations

18.8K

Authors

3.9K

Institutions

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