Efficient Simulation of Sparse Graphs of Point Processes
Copyright policy )Efficient Simulation of Sparse Graphs of Point Processes
We derive new discrete event simulation algorithms for marked time point processes. The main idea is to couple a special structure, namely the associated local independence graph, as defined by Didelez, with the activity tracking algorithm of Muzy for achieving high-performance asynchronous simulations. With respect to classical algorithms, this allows us to drastically reduce the computational complexity, especially when the graph is sparse.
discrete event simulation, computational complexity, Statistical software, Point processes, Hawkes point processes, [INFO] Computer Science [cs], [STAT] Statistics [stat], Additional Key Words and Phrases: Point processes, Mathematical software performance, local independent graphs, Graph theory (including graph drawing) in computer science, CCS Concepts: • Mathematics of computing → Discrete mathematics, Point processes (e.g., Poisson, Cox, Hawkes processes), Geometric probability and stochastic geometry, point processes
discrete event simulation, computational complexity, Statistical software, Point processes, Hawkes point processes, [INFO] Computer Science [cs], [STAT] Statistics [stat], Additional Key Words and Phrases: Point processes, Mathematical software performance, local independent graphs, Graph theory (including graph drawing) in computer science, CCS Concepts: • Mathematics of computing → Discrete mathematics, Point processes (e.g., Poisson, Cox, Hawkes processes), Geometric probability and stochastic geometry, point processes
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