https://scholars.lib.ntu.edu.tw/handle/123456789/625020
標題: | Simulation of some multivariate distributions related to the Dirichlet distribution with application to Monte Carlo simulations | 作者: | Hung Y.-C Chen W.-C. YING-CHAO HUNG |
關鍵字: | Dirichlet distribution; Inverted Dirichlet distribution; Liouville distribution; Monte Carlo simulation; Uniform distribution over a polyhedron | 公開日期: | 2017 | 卷: | 46 | 期: | 6 | 起(迄)頁: | 4281-4296 | 來源出版物: | Communications in Statistics: Simulation and Computation | 摘要: | Simulation of multivariate distributions is important in many applications but remains computationally challenging in practice. In this article, we introduce three classes of multivariate distributions from which simulation can be conducted by means of their stochastic representations related to the Dirichlet random vector. More emphasis is made to simulation from the class of uniform distributions over a polyhedron, which is useful for solving some constrained optimization problems and ha`s many applications in sampling and Monte Carlo simulations. Numerical evidences show that, by utilizing state-of-the-art Dirichlet generation algorithms, the introduced methods become superior to other approaches in terms of computational efficiency. © 2017 Taylor & Francis Group, LLC. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85009785254&doi=10.1080%2f03610918.2015.1115066&partnerID=40&md5=de1962ba72c1e97291d05ca58d714849 https://scholars.lib.ntu.edu.tw/handle/123456789/625020 |
ISSN: | 03610918 | DOI: | 10.1080/03610918.2015.1115066 | SDG/關鍵字: | Computational efficiency; Constrained optimization; Geometry; Intelligent systems; Numerical methods; Optimization; Stochastic systems; Constrained optimi-zation problems; Dirichlet distributions; Generation algorithm; Liouville; Multivariate distributions; Numerical evidence; Stochastic representations; Uniform distribution; Monte Carlo methods |
顯示於: | 工業工程學研究所 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。