Correlation control in small sample Monte Carlo type simulations I: A Simulated Annealing approach

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F09%3APU85982" target="_blank" >RIV/00216305:26110/09:PU85982 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Correlation control in small sample Monte Carlo type simulations I: A Simulated Annealing approach

Original language description

The objective of this paper is to propose an effective procedure for sampling from a multivariate population within the framework of Monte Carlo simulations. The typical application of the propřed approach involves a computer-based model, featuring random variables, in which it is impossible to find a way (closed form or numerical) to carry out the necessary transformation of the variables, and where simulation is expensive in terms of computing resources and time. Other applications of the propřed method can be seen in random field simulations, optimum learning sets for neural networks and response surfaces, and in the design of experiments. The paper presents a technique for efficient Monte Carlo type simulation of samples of randomvectors with prescribed marginals and a correlation structure. It is shown that if the technique is applied for smallsample simulation with a variance reduction technique called Latin Hypercube Sampling, the outcome is a set of samples that match user-defi

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

JM - Structural engineering

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

PROBABILISTIC ENGINEERING MECHANICS

ISSN

0266-8920

e-ISSN

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Volume of the periodical

24

Issue of the periodical within the volume

3

Country of publishing house

GB - UNITED KINGDOM

Number of pages

11

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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