Detail publikačního výsledku

Performance study of correlation control in Monte Carlo type simulation

VOŘECHOVSKÝ, M.

Originální název

Performance study of correlation control in Monte Carlo type simulation

Anglický název

Performance study of correlation control in Monte Carlo type simulation

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

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}.

Anglický abstrakt

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}.

Klíčová slova

Simulatiion, Monte Carlo, correlation structure

Klíčová slova v angličtině

Simulatiion, Monte Carlo, correlation structure

Autoři

VOŘECHOVSKÝ, M.

Vydáno

28.04.2006

Místo

Weimar, Germany

Kniha

PhD Workshop Brno, Prague, Weimar

Strany od

35

Strany do

38

Strany počet

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"
}