Detail publikačního výsledku

Correlated Random Variables in Probabilistic Simulation

VOŘECHOVSKÝ, M.; NOVÁK, D.

Originální název

Correlated Random Variables in Probabilistic Simulation

Anglický název

Correlated Random Variables in Probabilistic Simulation

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova v angličtině

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

Autoři

VOŘECHOVSKÝ, M.; NOVÁK, D.

Rok RIV

2011

Vydáno

19.09.2002

Nakladatel

Springer Verlag

Místo

Munich, Germany

ISBN

3-935065-09-4

Kniha

4th International Ph.D. Symposium in Civil Engineering

Strany od

410

Strany počet

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"
}