Simulating multivariate time series using flocking
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Authors
Schruben, Lee W.
Singham, Dashi I.
Subjects
Advisors
Date of Issue
2010
Date
2010
Publisher
ACM
Language
en_US
Abstract
Notions from agent based modeling (ABM) can be used to simulate multivariate time series. An example is given using the ABM concept of flocking, which models the behaviors of birds (called boids) in a flock. A multivariate time series is mapped into the coordinates of a bounded orthotope. This represents the flight path of a boid. Other boids are generated that flock around this data boid. The coordinates of these new boids are mapped back to simulate replicates of the original time series. The flock size determines the number of replicates. The similarity of the replicates to the original time series can be controlled by flocking parameters to reflect the strength of the belief that the future will mimic the past. It is potentially possible to replicate general non-stationary, dependent, high-dimensional time series in this manner.
Type
Conference Paper
Description
Refereed Conference Paper
Series/Report No
Department
Operations Research (OR)
Organization
Naval Postgraduate School (U.S.)
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NPS Report Number
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Funder
Format
Citation
L.W. Schruben, D.I. Singham, "Simulating multivariate time series using flocking," Proceedings of the 2010 Winter Simulation Conference, 8 p.
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.