Efficient generation of random derangements with the expected distribution of cycle lengths

We show how to generate random derangements efficiently by two different techniques: random restricted transpositions and sequential importance sampling. The algorithm employing restricted transpositions can also be used to generate random fixed-point-free involutions only, a.k.a. random perfect matchings on the complete graph. Our data indicate that the algorithms generate random samples with the expected distribution of cycle lengths, which we derive, and for relatively small samples, which can actually be very large in absolute numbers, we argue that they generate samples indistinguishable from the uniform distribution. Both algorithms are simple to understand and implement and possess a performance comparable to or better than those of currently known methods. Simulations suggest that the mixing time of the algorithm based on random restricted transpositions (in the total variance distance with respect to the distribution of cycle lengths) is $O(n^{a}\log{n}^{2})$ with $a \simeq \frac{1}{2}$ and $n$ the length of the derangement. We prove that the sequential importance sampling algorithm generates random derangements in $O(n)$ time with probability $O(1/n)$ of failing.Comment: This version corrected and updated; 14 pages, 2 algorithms, 2 tables, 4 figure

A sequential Monte Carlo approach to computing tail probabilities in stochastic models

Sequential Monte Carlo methods which involve sequential importance sampling and resampling are shown to provide a versatile approach to computing probabilities of rare events. By making use of martingale representations of the sequential Monte Carlo estimators, we show how resampling weights can be chosen to yield logarithmically efficient Monte Carlo estimates of large deviation probabilities for multidimensional Markov random walks.Comment: Published in at http://dx.doi.org/10.1214/10-AAP758 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Evaluation of Bayesian Sequential Proportion Estimation Using Analyst Labels

The author has identified the following significant results. A total of ten Large Area Crop Inventory Experiment Phase 3 blind sites and analyst-interpreter labels were used in a study to compare proportional estimates obtained by the Bayes sequential procedure with estimates obtained from simple random sampling and from Procedure 1. The analyst error rate using the Bayes technique was shown to be no greater than that for the simple random sampling. Also, the segment proportion estimates produced using this technique had smaller bias and mean squared errors than the estimates produced using either simple random sampling or Procedure 1

Random walks - a sequential approach

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its as- sociated sequential partial sum process under non-standard sampling. The asymptotic behavior differs substantially from the stationary situation, if there is a unit root (random walk component). To obtain meaningful asymptotic results we consider local nonpara- metric alternatives for the drift component. It turns out that the rate of convergence at which the drift vanishes determines whether the asymptotic properties of the monitoring procedure are determined by a deterministic or random function. Further, we provide a theoretical result about the optimal kernel for a given alternative

Sequential random sampling revisited : hidden shuffle method

Random sampling (without replacement) is ubiquitously employed to obtain a representative subset of the data. Unlike common methods, sequential methods report samples in ascending order of index without keeping track of previous samples. This enables lightweight iterators that can jump directly from one sampled position to the next. Previously, sequential methods focused on drawing from the distribution of gap sizes, which requires intricate algorithms that are difficult to validate and can be slow in the worst-case. This can be avoided by a new method, the Hidden Shuffle. The name mirrors the fact that although the algorithm does not resemble shuffling, its correctness can be proven by conceptualising the sampling process as a random shuffle. The Hidden Shuffle algorithm stores just a handful of values, can be implemented in few lines of code, offers strong worst-case guarantees and is shown to be faster than state-of-the-art methods while using comparably few random variates

Random walks with drift : a sequential approach

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under non-standard sampling. The asymptotic behavior differs substantially from the stationary situation, if there is a unit root (random walk component). To obtain meaningful asymptotic results we consider local nonparametric alternatives for the drift component. It turns out that the rate of convergence at which the drift vanishes determines whether the asymptotic properties of the monitoring procedure are determined by a deterministic or random function. Further, we provide a theoretical result about the optimal kernel for a given alternative. --Control chart,nonparametric smoothing,sequential analysis,unit roots,weighted partial sum process

Design of Experiments: An Overview

Design Of Experiments (DOE) is needed for experiments with real-life systems, and with either deterministic or random simulation models. This contribution discusses the different types of DOE for these three domains, but focusses on random simulation. DOE may have two goals: sensitivity analysis including factor screening and optimization. This contribution starts with classic DOE including 2k-p and Central Composite designs. Next, it discusses factor screening through Sequential Bifurcation. Then it discusses Kriging including Latin Hyper cube Sampling and sequential designs. It ends with optimization through Generalized Response Surface Methodology and Kriging combined with Mathematical Programming, including Taguchian robust optimization.simulation;sensitivity analysis;optimization;factor screening;Kriging;RSM;Taguchi