R. Kawai. Adaptive Monte Carlo variance reduction for Levy processes with two-time-scale stochastic approximation. Methodol. Comput. Appl. Probab., 10(2):199-223, 2008a.Kawai, R.: Adaptive Monte Carlo variance reduction for Le´vy processes with two-time-scale stochastic approximation, ...
The significance of the limit process is that it is substantially simpler than that of the original system. Thus, it can be used in the approximation and computation work to reduce the computational complexity.doi:10.1080/03610926.2012.741741Yin, G.Talafha, YousefXi, Fubao...
ior of stochastic approximation with two time-scales, they correspond only to the algorithms with decreas- ing step sizes. The asymptotic properties of two time-scale stochas- tic approximation algorithms with constant step sizes are analyzed in this paper. The analysis is carried out for the alg...
This limit is straightforward to compute numerically, and can serve as a good approximation of the stochastic system when the number of individuals is large. The mean-field limit of Kurtz is referred to as the homogeneous mean-field approximation in the present paper. While the density-dependent...
Aiming at obtaining a discrete version of this equation, we first truncate the domain, that is, we introduce the rectangle Ω = (0, S¯) x (- y¯, y¯), with S¯ and y¯ large enough. We are looking for a numerical approximation of P in Ω. For that, we first need to...
These methods can be roughly grouped into those that are independent of the reaction network structure, like quasi steady state approximation or computational singular perturbation21,22, and those that take the reaction network structure into account, such as tropical analysis23, limiting step inspired...
Red solid lines: results of a mean field approximation (“Methods”). An exponential fit with characteristic decay time \(\approx 18\tau\) is shown in green (dash-dot line) in (a), and a double exponential fit with characteristic decay times \(\approx \tau\) and \(\approx 38\tau\)...
the positive correlation between them (Overall duration of ore deposition = 0.0202 * Cu (Mt), R2 = 0.74, p < 0.00001) provides a reasonable first order approximation of the average rate at which Cu is precipitated in porphyry Cu deposits of variable sizes (~40 tons of...
In order to replicate within their cellular host, many viruses have developed self-assembly strategies for their capsids which are sufficiently robust as to be reconstituted in vitro. Mathematical models for virus self-assembly usually assume that the bo
A nonlinear filter with two time scales Jean Picard Pages 210-223 Bounds for the price of options Monique Jeanblanc-Picque, Nicole El Karoui, Ravi Viswanathan Pages 224-237 Brownian and diffusion decision processes J. P. Quadrat Pages 238-247 Kantorovich's functionals in space of...