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CS/ECE 541

1. Stochastic Ordering Let X and Y be random variables. We say that X is stochastically larger than Y , denoted X s Y , if and only if for all t, Pr{X > t} Pr{Y > t} An equivalent condition is that there exists a random variable Y with the same distribution as Y , such that X Y . Theorem 1. If X s Y , then for every monotone nondecreasing function f , E[f (X)] E[f (Y )]. The proof follows from the existence of Y . A powerful way to compare two stochastic systems is though coupling arguments that establish a stochastic ordering relationship between them.

Example Let X be exponentially distributed with rate x , Y be exponentially distributed with rate y , and have x < y . Then X s Y . For Pr{X > t} = exp{x t} > exp{y t} = Pr{Y > t}

From a coupling point of view, given X we can create Y with the distribution of Y such that X Y . For imagine sampling an instance of X using the inverse CDF method. Sample u1 from a U [0, 1] distribution, and dene X1 = (1/x ) log u1

But (1/x ) log u1 > (1/y ) log u1 , so dene Y as coupled with X through the inverse CDF generation method.

G/G/1 Queue Imagine two G/G/1 queues, Q1 and Q2 with the same inter-arrival distribution, but for service time distributions, GS,1 s GS,2 . Theorem 2. Under FCFS queueing, the response time distribution distribution for Q1 is stochastically larger than the response time distribution for Q2 . Proof: Consider Q1 and Q2 operating in parallel, driven by the same arrival streams. Let a1 , a2 , a3 , . . . be the times of arrival to these queues. Let s1,i and s2,i be the service time distributions for the ith arrival in Q1 and Q2 , respectively. Since GS,1 s GS,2 , we can sample s2,i in such a way that s1,i s2,i , for all i. Let d1,i and d2,i be the departure times of the ith job from Q1 and Q2 , respectively. I claim that d1,i d2,i for all i. For consider that in the case of i = 1 d1,1 = a1 + s1,1 a1 + s2,1 = d2,1 So the claim is true for i = 1. If the claim is true for i = k 1, then = max{ak , d1,k1 } + s1,k max{ak , d2,k1 } + s1,k by the induction hypothesis max{ak , d2,k1 } + s2,k because s1,k s2,k = d2,k The result follows from the observation that the response time of the ith job is d1,i ai for Q1 , and d2,i ai for Q2 . d1,k

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Variance Reduction Through Anti-thetic Variables Recall that if X and Y are random variables, then var(X + Y ) = var(X) + var(Y ) + 2cov(X, Y ) and var(X Y ) = var(X) + var(Y ) 2cov(X, Y ) This implies that if X and Y are positively correlated, the variance of their sum is larger than the sum of their variance, and the variance of their dierence is smaller than the sum of their variances. So what??? Suppose system 1 has a random metric X, under system 2 that variable has a dierent distribution Y , and you want to estimate whether the metric is smaller under system 1 than under system 2. You could do N independent runs of system 1, N independent runs of system 2, for the ith run in each compute Zi = Xi Yi , and use standard techniques to estimate a condence interval z t/2,N Z N 1/2

5

The benets of positive correlation But notice that when the simulation runs of system 1 and system 2 are independent, then

2 Z = var(X) + var(Y )

but if simulation runs of system 1 and system 2 were actively coupled in a way such that youd expect Xi and Yi to be positively correlated, say, Y has the distribution of Y but is set up to be positively correlated with X, then

2 Z

Bottom line : when comparing two systems to determine which is better, induced coupling can shrink the condence interval width for a given number of replications.

Importance Sampling Another technique for variance reduction is called importance sampling Let X be a random variable with density function f and let h be a function. Then

= E[h(X)] =

h(x)f (x) dx

n

= (1/n)

i=1

h(xi )

n

2 = (1/n)

i=1

(h(xi ) )2 .

Now consider a distribution g with the property that g(x) > 0 whenever f (x) > 0. Then an equivalent equation for is = f (x) g(x) dx g(x) = E[h(X)L(X)] h(x)

where the last expectation is taken with respect to g. L(x) = f (x)/g(x) is called the liklihood ratio. Think of

7

it this way....when g(x0 ) is large relative to f (x0 ) (skewing towards some feature of interest), we can correct the over-contribution that h(x0 ) has to E[h(X)] (with the expectation taken with respect to f ) by multiplying it by f (x0 )/g(x0 ). If f (x0 ) is much smaller than g(x0 ), then the contribution of the sampled value h(x0 ) is correspondingly diminished. You can use this formulation to estimate by sampling yi in accordance to density function g, and take

n

is = (1/n)

i=1

h(yi )L(yi )

The intuition here is that we choose g to bias the sampling of yi s towards regions where h(yi ) is comparatively largewhere the values that most dene is live. Fish where the sh are. The factor L(yi ) corrects for the biasing. The challenge is to nd sampling distributions g(x) that yield lower variance. The equations above do not ensure anything but the equivalence of two unbiased estimators.

Example : the state of a system X is 1 if failed, and 2 if not failed. We can in theory choose g(x) that gives no variance to h(X)L(X): Solve h(x) f (x) =1 g(x)

so that every sample has value 1! Just take g(x) = h(x)f (x). Not practical. Why? To see that importance sampling gives you want you want, notice that for x with h(x) = 1, then g(x) = f (x) and h(x)L(x) = h(x) = 1, for x with h(x) = 2, then g(x) = 2f (x) and h(x)L(x) = h(x)/2 = 1

and Eg [h(X)L(X)] =

x

xfor

=

xfor

2

x

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