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VOŘECHOVSKÝ, M. NOVÁK, D.
Original Title
Correlated Random Variables in Probabilistic Simulation
Type
conference paper
Language
English
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.
Key words in English
Correlations, random variables, Monte Carlo Simulation, Latin Hypercube Sampling
Authors
VOŘECHOVSKÝ, M.; NOVÁK, D.
RIV year
2002
Released
19. 9. 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 to
417
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" }