Publication detail

Performance study of correlation control in Monte Carlo type simulation

VOŘECHOVSKÝ, M.

Original Title

Performance study of correlation control in Monte Carlo type simulation

Type

conference paper

Language

English

Original Abstract

We study the effectiveness of a correlation control technique in Monte Carlo simulation based on sample rank manipulations the optimization technique Simulated Annealing \cite{VorNov:Corr:2002}. We first redefine the minimized norms that measure the goodness of fit of correlation structure. Next, we perform a performance study with both uncorrelated and correlated random vectors \cite{Vorech06:SwitchingPartII}.

Keywords

Simulatiion, Monte Carlo, correlation structure

Authors

VOŘECHOVSKÝ, M.

RIV year

2006

Released

28. 4. 2006

Location

Weimar, Germany

Pages from

35

Pages to

38

Pages count

4

BibTex

@inproceedings{BUT24189,
  author="Miroslav {Vořechovský}",
  title="Performance study of correlation control in Monte Carlo type simulation",
  booktitle="PhD Workshop Brno, Prague, Weimar",
  year="2006",
  pages="35--38",
  address="Weimar, Germany"
}