On correlation control in Monte Carlo type sampling

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F10%3APU90719" target="_blank" >RIV/00216305:26110/10:PU90719 - 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
On correlation control in Monte Carlo type sampling
Original language description
The objective of this paper is a study of performance of correlation control of recently proposed 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 and other related to averages of correlation errors. We study the 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
Czech name
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Czech description
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Project
<a href="/en/project/KJB201720902" target="_blank" >KJB201720902: Development of numerical methods for analyses of stochastic computational mechanics problems</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Workshop on Reliable Engineering Computing (Robust Design - Coping with Hazards, Risk und Uncertainty)
ISBN
978-981-08-5118-7
ISSN
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e-ISSN
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Number of pages
13
Pages from-to
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Publisher name
Neuveden
Place of publication
Singapur
Event location
Singapur
Event date
Mar 3, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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