A new approach for computing conditional probabilities of general stochastic processes

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

doi:10.1109/ANSS.2006.7

A new approach for computing conditional probabilities of general stochastic processes

Fabian Wickborn, Claudia Isensee, Thomas Simon, Sanja Lazarova-Molnar, Graham Horton

Department of Intelligent Systems

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

5 Citations (Scopus)

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.

Original language	English
Title of host publication	Proceedings - 39th Annual Simulation Symposium
Pages	152-159
Number of pages	8
DOIs	https://doi.org/10.1109/ANSS.2006.7
Publication status	Published - 2006
Event	39th Annual Simulation Symposium, 2006 - San Diego, CA, United States Duration: Apr 2 2006 → Apr 6 2006

Publication series

Name	Proceedings - Simulation Symposium
Volume	2006
ISSN (Print)	1080-241X

Other

Other	39th Annual Simulation Symposium, 2006
Country/Territory	United States
City	San Diego, CA
Period	4/2/06 → 4/6/06

ASJC Scopus subject areas

General Engineering

Access to Document

10.1109/ANSS.2006.7

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Wickborn, F, Isensee, C, Simon, T, Lazarova-Molnar, S & Horton, G 2006, A new approach for computing conditional probabilities of general stochastic processes. in Proceedings - 39th Annual Simulation Symposium., 1612855, Proceedings - Simulation Symposium, vol. 2006, pp. 152-159, 39th Annual Simulation Symposium, 2006, San Diego, CA, United States, 4/2/06. https://doi.org/10.1109/ANSS.2006.7

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title = "A new approach for computing conditional probabilities of general stochastic processes",

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.",

author = "Fabian Wickborn and Claudia Isensee and Thomas Simon and Sanja Lazarova-Molnar and Graham Horton",

year = "2006",

doi = "10.1109/ANSS.2006.7",

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AU - Isensee, Claudia

AU - Simon, Thomas

AU - Lazarova-Molnar, Sanja

AU - Horton, Graham

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

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DO - 10.1109/ANSS.2006.7

M3 - Conference contribution

AN - SCOPUS:33750127661

SN - 0769525598

SN - 9780769525594

T3 - Proceedings - Simulation Symposium

SP - 152

EP - 159

BT - Proceedings - 39th Annual Simulation Symposium

T2 - 39th Annual Simulation Symposium, 2006

Y2 - 2 April 2006 through 6 April 2006

ER -

A new approach for computing conditional probabilities of general stochastic processes

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