scholarly journals Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models

2021 ◽  
Vol 53 (3) ◽  
pp. 839-885
Author(s):  
Sarat Moka ◽  
Sandeep Juneja ◽  
Michel Mandjes

AbstractCoupling-from-the-past (CFTP) methods have been used to generate perfect samples from finite Gibbs hard-sphere models, an important class of spatial point processes consisting of a set of spheres with the centers on a bounded region that are distributed as a homogeneous Poisson point process (PPP) conditioned so that spheres do not overlap with each other. We propose an alternative importance-sampling-based rejection methodology for the perfect sampling of these models. We analyze the asymptotic expected running time complexity of the proposed method when the intensity of the reference PPP increases to infinity while the (expected) sphere radius decreases to zero at varying rates. We further compare the performance of the proposed method analytically and numerically with that of a naive rejection algorithm and of popular dominated CFTP algorithms. Our analysis relies upon identifying large deviations decay rates of the non-overlapping probability of spheres whose centers are distributed as a homogeneous PPP.

2018 ◽  
Vol 45 (3) ◽  
pp. 69-75
Author(s):  
S. B. Moka ◽  
S. Juneja ◽  
M. R. H. Mandjes

2015 ◽  
Vol 47 (03) ◽  
pp. 761-786 ◽  
Author(s):  
Jose Blanchet ◽  
Jing Dong

We present the first class of perfect sampling (also known as exact simulation) algorithms for the steady-state distribution of non-Markovian loss systems. We use a variation of dominated coupling from the past. We first simulate a stationary infinite server system backwards in time and analyze the running time in heavy traffic. In particular, we are able to simulate stationary renewal marked point processes in unbounded regions. We then use the infinite server system as an upper bound process to simulate the loss system. The running time analysis of our perfect sampling algorithm for loss systems is performed in the quality-driven (QD) and the quality-and-efficiency-driven regimes. In both cases, we show that our algorithm achieves subexponential complexity as both the number of servers and the arrival rate increase. Moreover, in the QD regime, our algorithm achieves a nearly optimal rate of complexity.


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