tailieunhanh - SIMULATION AND THE MONTE CARLO METHOD Episode 7

Tham khảo tài liệu 'simulation and the monte carlo method episode 7', kỹ thuật - công nghệ, cơ khí - chế tạo máy phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 160 CONTROLLING THE VARIANCE Table represents the point estimators u and f u v their associated sample variances and the estimated efficiency E of the importance sampling estimator Ị. u v relative to the CMC one f u as functions of the sample size N. Note that in our experiments the CMC estimator used all N replications while the importance sampling estimator used only N N1 replications since N1 1000 samples were used to estimate the reference parameter V. Table The efficiency e of the importance sampling estimator u v relative to the CMC one u as functions of the sample size N. N Z u u v Varu u Varv u v 2000 4000 6000 8000 10000 12000 035 14000 16000 18000 20000 From the data in Table if follows that the importance sampling estimator u v is more efficient than the CMC one by at least a factor of 18. Table indicates that only a few of the reference parameters Vị namely those numbered 12 13 22 23 and 32 out of a total of 70 called the bottleneck parameters differ significantly from their corresponding original values Ui i 1 . 70. This implies that instead of solving the original 70-dimensional CE program one could solve in fact only a 5dimensional one. These bottleneck components could be efficiently identified by using the screening algorithm developed in 22 . Motivated by this screening algorithm we solved the 5-dimensional CE program instead of the 70-dimensional one while keeping Vi Ui for the remaining 65 parameters. In this case we obtained better results than those in Table the resulting importance sampling estimator Í u v was more efficient than the CMC one by at least a factor of 20. The reason for that is obvious the 65 .

TỪ KHÓA LIÊN QUAN
crossorigin="anonymous">
Đã phát hiện trình chặn quảng cáo AdBlock
Trang web này phụ thuộc vào doanh thu từ số lần hiển thị quảng cáo để tồn tại. Vui lòng tắt trình chặn quảng cáo của bạn hoặc tạm dừng tính năng chặn quảng cáo cho trang web này.