About: On correlation control in Monte Carlo type sampling

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
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 as applied by Im 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 as applied by Im (en)
Title	On correlation control in Monte Carlo type sampling On correlation control in Monte Carlo type sampling (en)
skos:prefLabel	On correlation control in Monte Carlo type sampling On correlation control in Monte Carlo type sampling (en)
skos:notation	RIV/00216305:26110/10:PU90719!RIV11-MSM-26110___
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(KJB201720902), Z(MSM0021630519)
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Vořechovský, Miroslav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoké učení technické v Brně / Fakulta stavební
http://linked.open...dnocenehoVysledku	276683
http://linked.open...ai/riv/idVysledku	RIV/00216305:26110/10:PU90719
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	statistical correlation distribution, uncorrelatedness,, orthogonality, ortogonal vectors, multivariate Monte Carlo simulation, Latin Hypercube Sampling, correlation performance, saturated design (en)
http://linked.open.../riv/klicoveSlovo	Latin Hypercube Sampling orthogonality correlation performance multivariate Monte Carlo simulation ortogonal vectors saturated design statistical correlation distribution uncorrelatedness
http://linked.open...ontrolniKodProRIV	[903C60C17FAE]
http://linked.open...v/mistoKonaniAkce	Singapur
http://linked.open...i/riv/mistoVydani	Singapur
http://linked.open...i/riv/nazevZdroje	Workshop on Reliable Engineering Computing (Robust Design - Coping with Hazards, Risk und Uncertainty)
http://linked.open...in/vavai/riv/obor	JM
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Development of numerical methods for analyses of stochastic computational mechanics problems
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Vořechovský, Miroslav
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-03-03 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Progressive reliable and durable civil engineering structures
number of pages	13 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Neuveden
https://schema.org/isbn	978-981-08-5118-7
http://localhost/t...ganizacniJednotka	26110

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