A New Approach for Computing Conditional Probabilities of General Stochastic Processes

  • Authors:
  • Fabian Wickborn;Claudia Isensee;Thomas Simon;Sanja Lazarova-Molnar;Graham Horton

  • Affiliations:
  • Otto-von-Guericke Universität Magdeburg, Germany;Otto-von-Guericke Universität Magdeburg, Germany;Otto-von-Guericke Universität Magdeburg, Germany;Otto-von-Guericke Universität Magdeburg, Germany;Otto-von-Guericke Universität Magdeburg. Germany

  • Venue:
  • ANSS '06 Proceedings of the 39th annual Symposium on Simulation
  • Year:
  • 2006

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Abstract

In this paper Hidden Markov Model algorithms are considered as a method for computing conditional properties of continuous-time stochastic simulation models. The goal is to develop an algorithm that adapts known Hidden Markov Model algorithms for use with proxel-based simulation. It is shown how the Forward- and Viterbi-algorithms can be directly integrated in the proxel-method. The possibility of integrating the more complex Baum-Welch-algorithm is theoretically addressed. Experiments are conducted to determine the practicability of the new approach and to illustrate the type of analysis that is possible.