Publication result detail

Correlated Random Variables in Probabilistic Simulation

VOŘECHOVSKÝ, M.; NOVÁK, D.

Original Title

Correlated Random Variables in Probabilistic Simulation

English Title

Correlated Random Variables in Probabilistic Simulation

Type

Paper in proceedings (conference paper)

Original Abstract

A new efficient technique to impose the statistical correlation when using Monte Carlo type method for statistical analysis of computational problems is proposed. The technique is based on stochastic optimization method called Simulated Annealing. The comparison with other techniques presently used and intensive numerical testing showed the superiority and robustness of the method. No significant obstacles have been found working also with large problems (large number of random variables). Advantages and limitations of the approach will be discussed. Remarks on positive definiteness of target correlation matrix will be made. Numerical examples show the efficiency of the method.

English abstract

A new efficient technique to impose the statistical correlation when using Monte Carlo type method for statistical analysis of computational problems is proposed. The technique is based on stochastic optimization method called Simulated Annealing. The comparison with other techniques presently used and intensive numerical testing showed the superiority and robustness of the method. No significant obstacles have been found working also with large problems (large number of random variables). Advantages and limitations of the approach will be discussed. Remarks on positive definiteness of target correlation matrix will be made. Numerical examples show the efficiency of the method.

Key words in English

Correlations, random variables, Monte Carlo Simulation, Latin Hypercube Sampling

Authors

VOŘECHOVSKÝ, M.; NOVÁK, D.

RIV year

2011

Released

19.09.2002

Publisher

Springer Verlag

Location

Munich, Germany

ISBN

3-935065-09-4

Book

4th International Ph.D. Symposium in Civil Engineering

Pages from

410

Pages count

8

BibTex

@inproceedings{BUT10437,
  author="Miroslav {Vořechovský} and Drahomír {Novák}",
  title="Correlated Random Variables in Probabilistic Simulation",
  booktitle="4th International Ph.D. Symposium in Civil Engineering",
  year="2002",
  pages="8",
  publisher="Springer Verlag",
  address="Munich, Germany",
  isbn="3-935065-09-4"
}