On correlation control in Monte Carlo type sampling

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

On correlation control in Monte Carlo type sampling

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

On correlation control in Monte Carlo type sampling

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

JM - Inženýrské stavitelství

OECD FORD obor

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Projekt

<a href="/cs/project/KJB201720902" target="_blank" >KJB201720902: Rozvoj numerických metod analýzy problémů stochastické výpočtové mechaniky</a><br>

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

13

Strana od-do

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Název nakladatele

Neuveden

Místo vydání

Singapur

Místo konání akce

Singapur

Datum konání akce

3. 3. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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