A centering by the monte-carlo method
作者:
L.L. Sakalauskas,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1997)
卷期:
Volume 15,
issue 4
页码: 613-628
ISSN:0736-2994
年代: 1997
DOI:10.1080/07362999708809497
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
The maximization of Gaussian probability of the multidimensional set is considered, when expectations of Gaussian distribution are varying and the co-variance matrix is fixed. It is shown that the necessary condition of maximum is a centering, i.e. the optimal point coincides with the weight center of the set. Iterative methods for solving this problem are developed: the analytical centering procedure and the stochastic one by series of Monte-Carlo samples of fixed or regulated size. The convergence of these procedures is considered and the properties of their application in the computer-aided design of systems are discussed
点击下载:
PDF (357KB)
返 回