物理学报2012，Vol.61Issue(22)：20-27,8.
蒙特卡罗模拟中相关变量随机数序列的产生方法
Generation of correlated pseudorandom variables in Monte Carlo simulation
文德智 1卓仁鸿 1丁大杰 1郑慧 1成晶 1李正宏1
作者信息
- 1. 中国工程物理研究院核物理与化学研究所,绵阳621900
- 折叠
摘要
Abstract
Correlated pseudorandom variables with prescribed marginal distribution functions sometimes are required in simulation such as in Monte Carlo studies. In this paper, we present a general procedure and a simple but effective numerical approach to generating correlated random variables sampling sequence with prescribed marginal probability distribution functions and correlation coefficient matrix based on linear transformation-nonlinear transformation with Choesky factor. Some simulation results are reported. Simulation results show that the collections of random numbers generated by the presented procedure have desired correlations and pass the Kolmogorov-Smirnov non-parametric hypothesis test of specified marginal distribution. Some restrictions on the application of this method are discussed.关键词
蒙特卡罗方法/伪随机数/相关随机变量/抽样Key words
Moto Carlo method/pseudorandom numbers/correlated random variables/sampling分类
数理科学引用本文复制引用
文德智,卓仁鸿,丁大杰,郑慧,成晶,李正宏..蒙特卡罗模拟中相关变量随机数序列的产生方法[J].物理学报,2012,61(22):20-27,8.
