Performance of correlation control by combinatorial optimization for Latin Hypercube Sampling
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F09%3APU86026" target="_blank" >RIV/00216305:26110/09:PU86026 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Performance of correlation control by combinatorial optimization for Latin Hypercube Sampling
Original language description
The objective of this paper is a study of performance of correlation control of recently pro-posed procedure for sampling from a multivariate population within the framework of Monte Carlo simulations (especially Latin Hypercube Sampling). In particular,we study the ability of the method to fulfill the prescribed correlation structure of a random vector for various sample sizes and number of marginal variables. Two norms of correlation error are defined, one very conservative and related to extreme errors, other related to averages of correlation errors. We study behavior of Pearson correlation coefficient for Gaussian vectors and Spearman rank order coefficient (as a distribution-free correlation measure). Theoretical results on performance bounds for both correlation types in the case of desired uncorrelatedness are compared to performance of the proposed technique and also to other previously developed techniques for correlation control, namely the Cholesky orthogonalization as app
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
JM - Structural engineering
OECD FORD branch
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Result continuities
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)
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
ICOSSAR 2009 Safety, Reliability, and Risk of Structures, Infrastructures and Engineering Systems
ISBN
978-0-415-47557-0
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
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Publisher name
Neuveden
Place of publication
Osaka, Japonsko
Event location
Osaka
Event date
Aug 1, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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