Performance of correlation control by combinatorial optimization for Latin Hypercube Sampling

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Performance of correlation control by combinatorial optimization for Latin Hypercube Sampling

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Performance of correlation control by combinatorial optimization for Latin Hypercube Sampling

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

JM - Inženýrské stavitelství

OECD FORD obor

—

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název statě ve sborníku

ICOSSAR 2009 Safety, Reliability, and Risk of Structures, Infrastructures and Engineering Systems

ISBN

978-0-415-47557-0

ISSN

—

e-ISSN

—

Počet stran výsledku

8

Strana od-do

—

Název nakladatele

Neuveden

Místo vydání

Osaka, Japonsko

Místo konání akce

Osaka

Datum konání akce

1. 8. 2009

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—