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

作　　者：文德智[1] 卓仁鸿[1] 丁大杰[1] 郑慧[1] 成晶[1] 李正宏[1] 

机构地区：[1]中国工程物理研究院核物理与化学研究所,绵阳621900

出　　处：《物理学报》2012年第22期20-27,共8页Acta Physica Sinica

摘　　要：蒙特卡罗模拟有时需要对多维相关随机变量进行模拟抽样.本文介绍基于Choesky因子线性变换-非线性变换产生具有指定边缘分布和相关系数的多维相关随机变量抽样序列的一般方法,给出一种简单易行的高效数值实现途径和一些模拟结果.模拟结果表明,该方法产生的各随机变量抽样序列间具有预期要求的相关性,并能通过指定边缘分布Kolmogorov-Smirnov非参数假设检验.对该方法应用中的一些限制问题进行了讨论.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 

分 类 号：O211.5[理学—概率论与数理统计] O242.2[理学—数学]