Of Statistical Sample
In Simulation by Using
††thanks: We are very thankful to Latvian Council of Science for
the Grant Nr.97.0798 within which the present investigation is worked out.
The Bootstrap method application in simulation supposes that value of
random variables are not generated during the simulation process but
extracted from available sample populations. In the case of
Hierarchical Bootstrap the function of interest is calculated recurrently
using the calculation tree. In the present paper we consider the
optimization of sample sizes in each vertex of the calculation tree.
The dynamic programming method is used for this aim. Proposed method
allows to decrease a variance of system characteristic estimators.
Keywords: Bootstrap method, Simulation, Hierarchical Calculations, Variance Reduction
Main problem of the mathematical statistics and simulation is connected with insufficiency of primary statistical data. In this situation, the Bootstrap method can be used successfully (Efron, Tibshirani 1993, Davison, Hinkley 1997). If a dependence between characteristics of interest and input data is very composite and is described by numerical algorithm then usually it applies a simulation. By this the probabilistic distributions of input data are not estimated because the given primary data has small size and such estimation gives a bias and big variance. The Bootstrap method supposes that random variables are not generated by a random number generator during simulation in accordance with the estimated distributions but ones are extracted from given primary data at random. Various problems of this approach were considered in previous papers (Andronov et al. 1995, 1998).
We will consider the known function of m independent continuos random variables It is assumed that distributions of random variables are unknown, but the sample population is available for each . Here is the size of the sample . The problem consists in estimation of the mathematical expectation
The Bootstrap method use supposes an organization of some realizations of the values . In each realization the values of arguments are extracted randomly from the corresponding sample populations . Let be a number of elements which were extracted from the population in the -th realization. We denote and name it the l-th subsample. The estimator of the mathematical expectation is equal to an average value for all r realizations:
Our main aim is to calculate and to minimize the variance of this estimator. The variance will depend upon two factors: 1) a calculation method of the function ; 2) a formation mode of subsamples .
The next two Sections will be dedicated to these questions. In Section 4 we will show how to decrease variance using the dynamic programming method.
2 The Hierarchical Bootstrap Method
We suppose that the function is calculated by a calculation tree. A root of this tree corresponds to the computed function . It is the vertex number k. The vertices numbers correspond to the input variables . The rest vertices are intermediate ones. They correspond to intermediate functions (see Fig.1).
Only one arc comes out from each vertex , . It corresponds to a value of the function . We suppose that .
We denote as a set of vertices from which arcs come into the vertex , and as a corresponding set of variables (arcs): . It is clear that for ; , . We suppose that a numbering of the vertices is correct: if than .
Now, function value can be calculated by the sweep method. At the beginning, we extract separate elements from populations , then calculate the function values , successively. After r such runs the estimator is computed according to the formula (2). An analysis of this method was developed in the previous papers of authors.
The Hierarchical Bootstrap method is based on the wave algorithm. Here all values of the function for each vertex should be calculated all at once. They form the set , where is number of realizations (sample size). Getting one realization consists of choosing value from each corresponding population , and calculation of value. By this we suppose that a random sample with replacement is used when each element from is choosen independendly with the probability . Further on, this procedure is repeated for next vertex. Finally we get as values of the population . Their average gives the estimator by analogy with formula (2).
3 Expressions for Variance
The aim of this section is to show how to calculate variance of the estimator (2). It is easy to see that in the case of Hierarchical Bootstrap the variance is function of sample sizes .
In the previous papers of authors the variance was calculated using the -pairs notion (Andronov et. al, 1996, 1998). Then, it was considered as continuos function of variables , and reduced gradient method was used. But now we need other approach for the calculation of .
We use Taylor decomposition of function in respect to mean :
|where||is the matrix of second derivatives of the function ,|
|is Euclidean norm of vector .|
It gives the following decomposition:
If is a random vector with mutual independent components , , , then
Now we suppose that and are some values from sample population . Let denote the covariance of two elements and with different numbers and :
Let and correspond to the elements and accordingly. Because we extract and from at random and with replacement, then the event occurs with the probability . Then
Finally we have
By this we suppose that variances of input random variables are known. For example, it is possible to use estimators of these variances, calculated on given sample populations .
If the vertex belongs to the initial level of the calculation tree (it means that ) then , is known value, . Therefore
Another covariances and variances are calculated recurrently in accordance with formulas (10),(12), (14), (15) from vertices with less numbers to vertices with great numbers. Finally we get the variance of interest as the variance for root of the calculation tree:
As it was just mentioned, we will consider the variance as a function of sample sizes and denote it . Our aim is to minimize this function in respect to variables by linear restriction, or, by other words, to solve the following optimization problem:
where , and are integer non-negative numbers.
Now we intent to apply the dynamic programming method (Minox 1989).
4 The Dynamic Programming Method
Let us solve the optimization problem (17), (18). Our function of interest is calculated and simulated recurrently, using the calculation tree (see Section 2). In accordance to the dynamic programming technique, we have ”forward” and ”backward” procedure.
During ”backward” procedure, we calculate recurrently so-called Bellman function , , , . Let us consider the subfunction , that corresponds to the vertex . This subfunction directly depends on variables , , which correspond to incoming arcs for the vertex . Additionally depends on variables and from which there exists path from leaves to the vertex of our calculation tree. Let denote corresponding set of variables and .
Now we need to denote some auxiliary functions. Let us introduce the following notation
Then we are able to write in accordance with (13):
Values depend on the sample sizes for all . We will mark this fact as .
Now we are able to introduce above mentioned Bellman functions:
where minimization is realized with respect to non-negative integer variables that are satisfied the linear restriction
Bellman functions are calculated recurrently from to for and . Basic functional equation of dynamic programming has the following form:
where minimaiztion is realized with respect to non-negative integer variables and that satisfy the linear restriction
where - integer part of number ,
To calculate the optimal sample sizes we should apply ”forward” procedure of dynamic programming technique. At first, we find and by solving the equation
where minimization is realized by condition
Let , . Then we recurrently determine by analogy the rest and for :
Moreover we put
Finally the optimal sizes for are determined by the following way:
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