Statistical correlation in stratified sampling
نویسنده
چکیده
A new efficient technique to impose the statistical correlation when using the Monte Carlo type method for the statistical analysis of computational problems is proposed. The technique is based on the stochastic optimization method called Simulated Annealing. The comparison with other techniques presently used and intensive numerical testing showed the superiority and robustness of the method. No significant obstacles have been found when also working with large problems (large number of random variables). The advantages and limitations of the approach will be discussed. Remarks on the positive definiteness of target correlation matrix are made. Numerical examples show the efficiency of the method.
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