Fast simulation of self-similar and correlated processes

  • Authors:
  • M. E. Sousa-Vieira;A. Suárez-González;C. López-García;M. Fernández-Veiga;J. C. López-Ardao;R. F. Rodríguez-Rubio

  • Affiliations:
  • Departamento de Enxeñería Telemática, E.T.S.E. de Telecomunicación, Campus Universitario Lagoas Marcosende, 36310 Vigo, Spain;Departamento de Enxeñería Telemática, E.T.S.E. de Telecomunicación, Campus Universitario Lagoas Marcosende, 36310 Vigo, Spain;Departamento de Enxeñería Telemática, E.T.S.E. de Telecomunicación, Campus Universitario Lagoas Marcosende, 36310 Vigo, Spain;Departamento de Enxeñería Telemática, E.T.S.E. de Telecomunicación, Campus Universitario Lagoas Marcosende, 36310 Vigo, Spain;Departamento de Enxeñería Telemática, E.T.S.E. de Telecomunicación, Campus Universitario Lagoas Marcosende, 36310 Vigo, Spain;Departamento de Enxeñería Telemática, E.T.S.E. de Telecomunicación, Campus Universitario Lagoas Marcosende, 36310 Vigo, Spain

  • Venue:
  • Mathematics and Computers in Simulation
  • Year:
  • 2010

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Abstract

Simulations with long-range dependent or self-similar input processes are hindered both by the slowness of convergence displayed by the output data and by the high computational complexity of the on-line methods for generating the input process. In this paper, we present optimized algorithms for simulating efficiently the occupancy process of a M/G/~ system, which can be used as a sequential pseudo-random number generator of a broad class of self-similar and correlated sample-paths. We advocate the use of this approach in the simulation toolbox, as a simple method to overcome the drawbacks of other synthetic generators of Gaussian self-similar time series. Our approach to fast simulation of the M/G/~ model is the decomposition of the service time distribution as a linear combination of deterministic and memoryless random variables, plus a residual term. Then, the original M/G/~ system is replaced by a number of parallel, independent, virtual and easier to simulate M/G/~ subsystems, the dynamics of which can be replicated sequentially or in parallel too. We report the results of several experiments demonstrating the substantial improvements attainable with this decomposition.