Steady-state simulation of reflected Brownian motion and related stochastic networks

This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson (possibly Markov modulated) input. In this case, we analyze the complexity of our procedure as the dimension of the network increases and show that, under certain assumptions, the algorithm has polynomial-expected termination time. Our methodology includes procedures that are of interest beyond steady-state simulation and reflected processes. For instance, we use wavelets to construct a piecewise linear function that can be guaranteed to be within $\varepsilon$ distance (deterministic) in the uniform norm to Brownian motion in any compact time interval.Comment: Published at http://dx.doi.org/10.1214/14-AAP1072 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Optimistic optimization of a Brownian

International audienceWe address the problem of optimizing a Brownian motion. We consider a (random) realization W of a Brownian motion with input space in [0, 1]. Given W, our goal is to return an ε-approximation of its maximum using the smallest possible number of function evaluations, the sample complexity of the algorithm. We provide an algorithm with sample complexity of order log 2 (1/ε). This improves over previous results of Al-Mharmah and Calvin (1996) and Calvin et al. (2017) which provided only polynomial rates. Our algorithm is adaptive-each query depends on previous values-and is an instance of the optimism-in-the-face-of-uncertainty principle

From rough path estimates to multilevel Monte Carlo

New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a numerical analysis point of view, stochastic differential equations driven by Gaussian noise in the aforementioned sense. Our focus lies on numerical implementations, and more specifically on the saving possible via multilevel methods. Our analysis relies on a subtle combination of pathwise estimates, Gaussian concentration, and multilevel ideas. Numerical examples are given which both illustrate and confirm our findings.Comment: 34 page

Exact Simulation of Non-stationary Reflected Brownian Motion

This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time $t$ is uniformly bounded by $\mathcal{O}(1/\bar\gamma^2)$ where $\bar\gamma$ is the average drift of the process. The method can be used as a guide for planning simulations of complex queueing systems with non-stationary arrival rates and/or service time

Computing mean first exit times for stochastic processes using multi-level Monte Carlo

The multi-level approach developed by Giles (2008) can be used to estimate mean first exit times for stochastic differential equations, which are of interest in finance, physics and chemical kinetics. Multi-level improves the computational expense of standard Monte Carlo in this setting by an order of magnitude. More precisely, for a target accuracy of TOL, so that the root mean square error of the estimator is O(TOL), the O(TOL-4) cost of standard Monte Carlo can be reduced to O(TOL-3|log(TOL)|1/2) with a multi-level scheme. This result was established in Higham, Mao, Roj, Song, and Yin (2013), and illustrated on some scalar examples. Here, we briefly overview the algorithm and present some new computational results in higher dimensions

Estimating expected first passage times using multilevel Monte Carlo algorithm

In this paper we devise a method of numerically estimating the expected first passage times of stochastic processes. We use Monte Carlo path simulations with Milstein discretisation scheme to approximate the solutions of scalar stochastic differential equations. To further reduce the variance of the estimated expected stopping time and improve computational efficiency, we use the multi-level Monte Carlo algorithm, recently developed by Giles (2008a), and other variance-reduction techniques. Our numerical results show significant improvements over conventional Monte Carlo techniques