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Monte Carlo Simulation Approach (monte + carlo_simulation_approach)

Distribution by Scientific Domains

Engineering	50%

Selected Abstracts

A Parallelised High Performance Monte Carlo Simulation Approach for Complex Polymerisation Kinetics

MACROMOLECULAR THEORY AND SIMULATIONS, Issue 6 2007
Hugh Chaffey-Millar
Abstract A novel, parallelised approach to Monte Carlo simulations for the computation of full molecular weight distributions (MWDs) arising from complex polymerisation reactions is presented. The parallel Monte Carlo method constitutes perhaps the most comprehensive route to the simulation of full MWDs of multiple chain length polymer entities and can also provide detailed microstructural information. New fundamental insights have been developed with regard to the Monte Carlo process in at least three key areas: (i) an insufficient system size is demonstrated to create inaccuracies via poor representation of the most improbable events and least numerous species; (ii) advanced algorithmic principles and compiler technology known to computer science have been used to provide speed improvements and (iii) the parallelisability of the algorithm has been explored and excellent scalability demonstrated. At present, the parallel Monte Carlo method presented herein compares very favourably in speed with the latest developments in the h-p Galerkin method-based PREDICI software package while providing significantly more detailed microstructural information. It seems viable to fuse parallel Monte Carlo methods with those based on the h-p Galerkin methods to achieve an optimum of information depths for the modelling of complex macromolecular kinetics and the resulting microstructural information. [source]

Optimization of Monte Carlo Procedures for Value at Risk Estimates

ECONOMIC NOTES, Issue 1 2002
Sabrina Antonelli
This paper proposes a methodology which improves the computational efficiency of the Monte Carlo simulation approach of value at risk (VaR) estimates. Principal components analysis is used to reduce the number of relevant sources of risk driving the portfolio dynamics. Moreover, large deviations techniques are used to provide an estimate of the minimum number of price scenarios to be simulated to attain a given accuracy. Numerical examples are provided and show the good performance of the methodolgy proposed. (J.E.L.: C15, G1). [source]

Adaptive preconditioning of linear stochastic algebraic systems of equations

INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN BIOMEDICAL ENGINEERING, Issue 11 2007
Y. T. Feng
Abstract This paper proposes an adaptively preconditioned iterative method for the solution of large-scale linear stochastic algebraic systems of equations with one random variable that arise from the stochastic finite element modelling of linear elastic problems. Firstly, a Rank-one posteriori preconditioner is introduced for a general linear system of equations. This concept is then developed into an effective adaptive preconditioning scheme for the iterative solution of the stochastic equations in the context of a modified Monte Carlo simulation approach. To limit the maximum number of base vectors used in the scheme, a simple selection criterion is proposed to update the base vectors. Finally, numerical experiments are conducted to assess the performance of the proposed adaptive preconditioning strategy, which indicates that the scheme with very few base vectors can improve the convergence of the standard Incomplete Cholesky preconditioning up to 50%. Copyright © 2006 John Wiley & Sons, Ltd. [source]

A simulation-based reliability assessment approach for congested transit network

JOURNAL OF ADVANCED TRANSPORTATION, Issue 1 2004
Yafeng Yin
This paper is an attempt to develop a generic simulation-based approach to assess transit service reliability, taking into account interaction between network performance and passengers' route choice behaviour. Three types of reliability, say, system wide travel time reliability, schedule reliability and direct boarding waiting-time reliability are defined from perspectives of the community or transit administration, the operator and passengers. A Monte Carlo simulation approach with a stochastic user equilibrium transit assignment model embedded is proposed to quantify these three reliability measures of transit service. A simple transit network with a bus rapid transit (BRT) corridor is analysed as a case study where the impacts of BRT components on transit service reliability are evaluated preliminarily. [source]