Přístupnostní navigace
E-přihláška
Vyhledávání Vyhledat Zavřít
Detail publikace
VOŘECHOVSKÝ, M. NOVÁK, D.
Originální název
Correlated Random Variables in Probabilistic Simulation
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
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.
Klíčová slova v angličtině
Correlations, random variables, Monte Carlo Simulation, Latin Hypercube Sampling
Autoři
VOŘECHOVSKÝ, M.; NOVÁK, D.
Rok RIV
2002
Vydáno
19. 9. 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 do
417
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" }