Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.

Convergence of Probability Measures

Several Markov chain methods are available for sampling from a posterior distribution. Two important examples are the Gibbs sampler and the Metropolis algorithm. In addition, several strategies are available for constructing hybrid algorithms. This paper outlines some of the basic methods and strategies and discusses some related theoretical and practical issues. On the theoretical side, results from the theory of general state space Markov chains can be used to obtain convergence rates, laws of large numbers and central limit theorems for estimates obtained from Markov chain methods. These theoretical results can be used to guide the construction of more efficient algorithms. For the practical use of Markov chain methods, standard simulation methodology provides several variance reduction techniques and also give guidance on the choice of sample size and allocation.

/pdf/markov-chains-for-exploring-posterior-distributions-19mikfcnja.pdf

Markov Chains for Exploring Posterior Distributions

Two convergence aspects of the EM algorithm are studied: (i) does the EM algorithm find a local maximum or a stationary value of the (incomplete-data) likelihood function? (ii) does the sequence of parameter estimates generated by EM converge? Several convergence results are obtained under conditions that are applicable to many practical situations Two useful special cases are: (a) if the unobserved complete-data specification can be described by a curved exponential family with compact parameter space, all the limit points of any EM sequence are stationary points of the likelihood function; (b) if the likelihood function is unimodal and a certain differentiability condition is satisfied, then any EM sequence converges to the unique maximum likelihood estimate A list of key properties of the algorithm is included

/pdf/on-the-convergence-properties-of-the-em-algorithm-zxjq0mqgzw.pdf

On the convergence properties of the em algorithm

A vast literature in statistics, biometrics, and econometrics is concerned with the analysis of binary and polychotomous response data. The classical approach fits a categorical response regression model using maximum likelihood, and inferences about the model are based on the associated asymptotic theory. The accuracy of classical confidence statements is questionable for small sample sizes. In this article, exact Bayesian methods for modeling categorical response data are developed using the idea of data augmentation. The general approach can be summarized as follows. The probit regression model for binary outcomes is seen to have an underlying normal regression structure on latent continuous data. Values of the latent data can be simulated from suitable truncated normal distributions. If the latent data are known, then the posterior distribution of the parameters can be computed using standard results for normal linear models. Draws from this posterior are used to sample new latent data, and t...

http://www.stat.cmu.edu/~brian/905-2009/all-papers/albert-chib-1993.pdf

Bayesian analysis of binary and polychotomous response data

Praise for the Third Edition: "This is one of the best books available. Its excellent organizational structure allows quick reference to specific models and its clear presentation . . . solidifies the understanding of the concepts being presented."IIE Transactions on Operations EngineeringThoroughly revised and expanded to reflect the latest developments in the field, Fundamentals of Queueing Theory, Fourth Edition continues to present the basic statistical principles that are necessary to analyze the probabilistic nature of queues. Rather than presenting a narrow focus on the subject, this update illustrates the wide-reaching, fundamental concepts in queueing theory and its applications to diverse areas such as computer science, engineering, business, and operations research.This update takes a numerical approach to understanding and making probable estimations relating to queues, with a comprehensive outline of simple and more advanced queueing models. Newly featured topics of the Fourth Edition include:Retrial queuesApproximations for queueing networksNumerical inversion of transformsDetermining the appropriate number of servers to balance quality and cost of serviceEach chapter provides a self-contained presentation of key concepts and formulae, allowing readers to work with each section independently, while a summary table at the end of the book outlines the types of queues that have been discussed and their results. In addition, two new appendices have been added, discussing transforms and generating functions as well as the fundamentals of differential and difference equations. New examples are now included along with problems that incorporate QtsPlus software, which is freely available via the book's related Web site.With its accessible style and wealth of real-world examples, Fundamentals of Queueing Theory, Fourth Edition is an ideal book for courses on queueing theory at the upper-undergraduate and graduate levels. It is also a valuable resource for researchers and practitioners who analyze congestion in the fields of telecommunications, transportation, aviation, and management science.

Fundamentals of Queueing Theory

Bratley, Fox, and Schrage’s A Guide to Simulation provides practical recommendations for both the novice and the experienced simulationist, without insulting the reader’s intelligence. It does this with a text that is readable, mathematically precise, and comprehensive enough so that it touches on the majority of concerns which arise in a simulation project. Despite the brevity of the book (only 287 pages of text), its mathematical notation, and the problems which it poses without solutions, the textbook is imbued with a feeling for the &dquo;nitty-gritty&dquo; practical aspects of simulation. The authors generously present many helpful hints, suggestions, recommendations, and caveats gleaned from practical experience.

A Guide to Simulation.

This research was partially supported by National Science Foundation Grant ECS-8023177. Permission to copy without fee all or part of this material is granted provided that the copies are not made or distributed for direct commercial advantage, the ACM copyright notice and the title of the publication and its date appear, and notice is given that copying is by permission of the Association for Computing Machinery. To copy otherwise, or to republish, requires a fee and/or specific permission. © 1983 ACM 0001-0782/83/1100-0957 75¢

Simulation modeling with event graphs

Observations of a stationary stochastic process can be transformed into a standardized time series. This paper presents a lemma giving the asymptotic properties of this standardized series under quite general conditions. In particular, the conditions are satisfied by stationary discrete-event simulations. Confidence intervals can be constructed using this lemma. For illustration, we develop two easily computed interval estimators for the process mean. When independent replications of the series are available, such as in computer simulation experiments, these interval estimators may be combined with the classical confidence interval estimator. These interval estimators also tend to compensate for simulation initialization bias if the sign of the bias is known. In an empirical study using three elementary simulated processes, the interval estimators presented here compare favorably with the classical interval estimator. In a recent paper, Goldsman and Schruben Goldsman, D., L. Schruben. 1982. Asymptotic properties of some confidence interval estimators. Tech. Rep. 544, School of O.R.I.E., Cornell University, Ithaca, NY. show that the asymptotic properties of the confidence intervals presented in this paper strictly dominate those of classical confidence intervals.

Confidence Interval Estimation Using Standardized Time Series

Discrete event simulation optimization is a problem of significant interest to practitioners interested in extracting useful information about an actual (or yet to be designed) system that can be modeled using discrete event simulation. This paper presents a brief survey of the literature on discrete event simulation optimization over the past decade (1988 to the present). Swisher et al. (2000) provides a more comprehensive review of this topic while Jacobson and Schruben (1989) covers the literature preceding 1988. Optimization of both discrete and continuous input parameters are examined. The continuous input parameter case is separated into gradient and non-gradient based optimization procedures. The discrete input parameter case differentiates techniques appropriate for small and for large numbers of feasible input parameter values.

/pdf/a-survey-of-simulation-optimization-techniques-and-1fbd4b2eyy.pdf

A survey of simulation optimization techniques and procedures

A general approach to testing for initialization bias in the mean of a simulation output series is presented The output is transformed into a standardized test sequence that can be contrasted with a known limiting stochastic process This transformation requires very little computation and the asymptotic theory is applicable to a wide variety of simulations An initialization bias test is developed and several examples of its application are presented

Lee W. Schruben

Papers

A Guide to Simulation.

Simulation modeling with event graphs

Confidence Interval Estimation Using Standardized Time Series

A survey of simulation optimization techniques and procedures

Detecting Initialization Bias in Simulation Output