Detail publikačního výsledku

Statistical Correlation in Stratified Sampling

VOŘECHOVSKÝ, M., NOVÁK, D.

Originální název

Statistical Correlation in Stratified Sampling

Anglický název

Statistical Correlation in Stratified Sampling

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

Clanek predstavuje novou metodu pro zavedeni statisticke zavislosti mezi vzorky samplovane metodami tyou Monte Carlo

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 are made. Numerical examples show the efficiency of the method.

Klíčová slova v angličtině

correlation, Monte Carlo simulation, Latin hypercube sampling, statistical analysis, sensitivity, reliability, stochastic optimization, Simulated Annealing

Autoři

VOŘECHOVSKÝ, M., NOVÁK, D.

Vydáno

06.07.2003

Nakladatel

Cerra

Místo

San Francisco

ISBN

90-5966-004-9

Kniha

ICASP 9, The Ninth International Conference on Applications of Statistics and Probability in Civil Engineering

Strany od

91

Strany počet

7

BibTex

@inproceedings{BUT13920,
  author="Miroslav {Vořechovský} and Drahomír {Novák}",
  title="Statistical Correlation in Stratified Sampling",
  booktitle="ICASP 9, The Ninth International Conference on Applications of Statistics and Probability in Civil Engineering",
  year="2003",
  pages="7",
  publisher="Cerra",
  address="San Francisco",
  isbn="90-5966-004-9"
}