RANMETHOD also for $SIM

3 messages 3 people Latest: Oct 10, 2012

RANMETHOD also for $SIM

From: Sven Mensing Date: October 10, 2012 technical
Hello, is it possible to use the Sobol pseudo-random number generator (e.g. RANMETHOD=2S) for $SIMULATION problems? Maybe in NM 7.3? Thanks Sven ________________________________ Abbott GmbH & Co. KG Sitz der Gesellschaft: Wiesbaden - Registergericht: AG Wiesbaden HRA 4888 Pers?nlich haftende Gesellschafterin: Abbott Management GmbH Sitz der pers?nlich haftenden Gesellschafterin: Wiesbaden - Registergericht: AG Wiesbaden HRB 12889 Gesch?ftsf?hrer: Alexander W?rfel, Dr. Friedrich Richter, Matthias D?schner , Kathy Vinchkoski Turner Vorsitzender des Aufsichtrats: Brian Blaser This communication may contain information that is proprietary, confidential, or exempt from disclosure. If you are not the intended recipient, please note that any other dissemination, distribution, use or copying of this communication is strictly prohibited. Anyone who receives this message in error should notify the sender immediately by telephone or by return e-mail and delete it from his or her computer. Diese Kommunikation kann Informationen enthalten, die geheim, vertraulich oder hinsichtlich der Offenlegung beschr?nkt sind. Wenn Sie nicht der beabsichtigte Empf?nger sind, nehmen Sie bitte zur Kenntnis, dass jede Weitergabe, Verteilung, Verwendung oder Vervielf?ltigung dieser. Kommunikation strikt untersagt ist. Jeder, der diese Nachricht fehlerhaft erh?lt, sollte den Sender unverz?glich telefonisch oder durch R?cksendung der E-Mail benachrichtigen und diese von seinem oder ihrem Computer l?schen.

RE: RANMETHOD also for $SIM

From: Robert Bauer Date: October 10, 2012 technical
Sven: It would be mathematically incorrect to create simulated values using a Sobol quasi-random method. You would obtain eta and eps values that are not truly normally distributed. The Sobol technique is specifically designed to improve the efficiency of Monte Carlo integration in multi-dimensional space, such as is done during the expectation step of the Monte Carlo importance sampling EM methods, and for no other purpose. It would even be inappropriate (that is, lead to bias) in the SAEM or BAYES methods. This is why the Sobol technique is only for IMP and DIRECT estimation. Robert J. Bauer, Ph.D. Vice President, Pharmacometrics, R&D ICON Development Solutions 7740 Milestone Parkway Suite 150 Hanover, MD 21076 Tel: (215) 616-6428 Mob: (925) 286-0769 Email: [email protected] Web: http://www.iconplc.com/
Quoted reply history
________________________________ From: [email protected] [mailto:[email protected]] On Behalf Of Mensing, Sven Sent: Wednesday, October 10, 2012 8:57 AM To: [email protected] Subject: [NMusers] RANMETHOD also for $SIM Hello, is it possible to use the Sobol pseudo-random number generator (e.g. RANMETHOD=2S) for $SIMULATION problems? Maybe in NM 7.3? Thanks Sven ________________________________ Abbott GmbH & Co. KG Sitz der Gesellschaft: Wiesbaden - Registergericht: AG Wiesbaden HRA 4888 Persönlich haftende Gesellschafterin: Abbott Management GmbH Sitz der persönlich haftenden Gesellschafterin: Wiesbaden - Registergericht: AG Wiesbaden HRB 12889 Geschäftsführer: Alexander Würfel, Dr. Friedrich Richter, Matthias Däschner , Kathy Vinchkoski Turner Vorsitzender des Aufsichtrats: Brian Blaser This communication may contain information that is proprietary, confidential, or exempt from disclosure. If you are not the intended recipient, please note that any other dissemination, distribution, use or copying of this communication is strictly prohibited. Anyone who receives this message in error should notify the sender immediately by telephone or by return e-mail and delete it from his or her computer. Diese Kommunikation kann Informationen enthalten, die geheim, vertraulich oder hinsichtlich der Offenlegung beschränkt sind. Wenn Sie nicht der beabsichtigte Empfänger sind, nehmen Sie bitte zur Kenntnis, dass jede Weitergabe, Verteilung, Verwendung oder Vervielfältigung dieser. Kommunikation strikt untersagt ist. Jeder, der diese Nachricht fehlerhaft erhält, sollte den Sender unverzüglich telefonisch oder durch Rücksendung der E-Mail benachrichtigen und diese von seinem oder ihrem Computer löschen.

RE: RANMETHOD also for $SIM

From: Bob Leary Date: October 10, 2012 technical
Bob and Sven, It's not a question of 'mathematical correctness' , but to what use you intend to put the simulated data. Quasi-random sequences are much different than pseudo-random sequences and any statistical conclusions you might want to draw from the simulated data may be dubious. For some purposes such as numerical integration, quasi-random etas can greatly out perform pseudo-random etas. But for other purposes, the lack of 'randomness' in quasi-random sequences can make them quite inappropriate. For example, It is well known that raw (unscrambled) quasi -random sequences cannot be substituted for pseudo-random sequences in MCMC applications such as SAEM - results can be quite nonsensical. Bob's claim that ""It (use of SOBOL sequnces) would even be inappropriate (that is, lead to bias) in the SAEM or BAYES method" is certainly correct for raw SOBOL sequences. However, scrambling (for example, Owen scrambling given by the S1 option in NM ) may overcome this problem in the MCMC case and currently this is a research topic of great interest in the MCMC world. For example, Owen and Tribble (PNAS , Vol 102, 2005, 8844-8849, http://www.pnas.org/content/102/25/8844.long) have recently proved that under some conditions a Metropolis-Hastings algorithm with quasi-random inputs yields consistent estimates and the method is much more accurate than ordinary Metroplis-Hastings sampling with standard pseudo-random inputs. They also show how to extend the results to Gibbs sampling.
Quoted reply history
From: [email protected] [mailto:[email protected]] On Behalf Of Bauer, Robert Sent: Wednesday, October 10, 2012 11:34 AM To: Mensing, Sven; [email protected] Subject: [NMusers] RE: RANMETHOD also for $SIM Sven: It would be mathematically incorrect to create simulated values using a Sobol quasi-random method. You would obtain eta and eps values that are not truly normally distributed. The Sobol technique is specifically designed to improve the efficiency of Monte Carlo integration in multi-dimensional space, such as is done during the expectation step of the Monte Carlo importance sampling EM methods, and for no other purpose. It would even be inappropriate (that is, lead to bias) in the SAEM or BAYES methods. This is why the Sobol technique is only for IMP and DIRECT estimation. Robert J. Bauer, Ph.D. Vice President, Pharmacometrics, R&D ICON Development Solutions 7740 Milestone Parkway Suite 150 Hanover, MD 21076 Tel: (215) 616-6428 Mob: (925) 286-0769 Email: [email protected]<mailto:[email protected]> Web: http://www.iconplc.com/ ________________________________ From: [email protected]<mailto:[email protected]> [mailto:[email protected]]<mailto:[mailto:[email protected]]> On Behalf Of Mensing, Sven Sent: Wednesday, October 10, 2012 8:57 AM To: [email protected]<mailto:[email protected]> Subject: [NMusers] RANMETHOD also for $SIM Hello, is it possible to use the Sobol pseudo-random number generator (e.g. RANMETHOD=2S) for $SIMULATION problems? Maybe in NM 7.3? Thanks Sven ________________________________ Abbott GmbH & Co. KG Sitz der Gesellschaft: Wiesbaden - Registergericht: AG Wiesbaden HRA 4888 Persönlich haftende Gesellschafterin: Abbott Management GmbH Sitz der persönlich haftenden Gesellschafterin: Wiesbaden - Registergericht: AG Wiesbaden HRB 12889 Geschäftsführer: Alexander Würfel, Dr. Friedrich Richter, Matthias Däschner , Kathy Vinchkoski Turner Vorsitzender des Aufsichtrats: Brian Blaser This communication may contain information that is proprietary, confidential, or exempt from disclosure. If you are not the intended recipient, please note that any other dissemination, distribution, use or copying of this communication is strictly prohibited. Anyone who receives this message in error should notify the sender immediately by telephone or by return e-mail and delete it from his or her computer. Diese Kommunikation kann Informationen enthalten, die geheim, vertraulich oder hinsichtlich der Offenlegung beschränkt sind. Wenn Sie nicht der beabsichtigte Empfänger sind, nehmen Sie bitte zur Kenntnis, dass jede Weitergabe, Verteilung, Verwendung oder Vervielfältigung dieser. Kommunikation strikt untersagt ist. Jeder, der diese Nachricht fehlerhaft erhält, sollte den Sender unverzüglich telefonisch oder durch Rücksendung der E-Mail benachrichtigen und diese von seinem oder ihrem Computer löschen.