This dissertation focuses on the development and analysis of exact simulation algorithms with applications in queueing theory and extreme value analysis. We first introduce the first algorithm that samples max_πβ₯0 {π_π β π^Ξ±} where π_π is a mean zero random walk, and π^Ξ± with Ξ± β (1/2,1) defines a nonlinear boundary. We apply this algorithm to construct the first exact simulation method for the steady-state departure process of a πΊπΌ/πΊπΌ/β queue where the service time distribution has infinite mean.
Next, we consider the random field
π (π‘) = sup_(πβ₯1) τ°{ β log π¨_π + π_π (π‘)τ°
}, π‘ β π ,
for a set π β β^π, where (π_π) is an iid sequence of centered Gaussian random fields on π and π < π¨β < π¨β < . . . are the arrivals of a general renewal process on (0, β), independent of π_π. In particular, a large class of max-stable random fields with Gumbel marginals have such a representation. Assume that the number of function evaluations needed to sample π_π at π locations π‘β, . . . , π‘_π β π is π(π). We provide an algorithm which samples π(π‘_{1}), . . . ,π(π‘_π) with complexity π (π(π)^{1+π° (1)) as measured in the πΏ_π norm sense for any π β₯ 1. Moreover, if π_π has an a.s. converging series representation, then π can be a.s. approximated with error Ξ΄ uniformly over π and with complexity π (1/(Ξ΄l og (1/\Ξ΄((^{1/Ξ±}, where Ξ± relates to the HΓΆlder continuity exponent of the process π_π (so, if π_π is Brownian motion, Ξ± =1/2).
In the final part, we introduce a class of unbiased Monte Carlo estimators for multivariate densities of max-stable fields generated by Gaussian processes. Our estimators take advantage of recent results on the exact simulation of max-stable fields combined with identities studied in the Malliavin calculus literature and ideas developed in the multilevel Monte Carlo literature. Our approach allows estimating multivariate densities of max-stable fields with precision π at a computational cost of order π (π β»Β² log log log 1/π).
Identifer | oai:union.ndltd.org:columbia.edu/oai:academiccommons.columbia.edu:10.7916/d8-8jvj-5309 |
Date | January 2020 |
Creators | Liu, Zhipeng |
Source Sets | Columbia University |
Language | English |
Detected Language | English |
Type | Theses |
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