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1.
Abstract

This article provides an efficient algorithm for generating a random matrix according to a Wishart distribution, but with eigenvalues constrained to be less than a given vector of positive values. The procedure of Odell and Feiveson provides a guide, but the modifications here ensure that the diagonal elements of a candidate matrix are less than the corresponding elements of the constraint vector, thus greatly improving the chances that the matrix will be acceptable. The Normal hierarchical model with vector outcomes and the multivariate random effects model provide motivating applications.  相似文献   
2.
René Michel 《Extremes》2007,10(3):83-107
The investigation of multivariate generalized Pareto distributions (GPDs) has begun only recently. For further progress with these distributions simulation methods are an important part. We describe several methods of simulating GPDs, beginning with an efficient method for the logistic GPD. The algorithm is based on the Shi transformation, which was already used for the simulation of multivariate extreme value distributions (EVDs) of logistic type. In the sequel another algorithm is presented simulating a broader class of GPDs. Due to its numerical complexity it is only practicably applicable in low dimensions. A method is given to generate unconditional GPD random vectors from conditionally GPD distributed random vectors. A short application of the simulation methods in the analysis of a real hydrological data set concludes the article. The simulation algorithms are available on the author’s home page .   相似文献   
3.
Summary  Sampling from probability density functions (pdfs) has become more and more important in many areas of applied science, and has therefore been the subject of great attention. Many sampling procedures proposed allow for approximate or asymptotic sampling. On the other hand, very few methods allow for exact sampling. Direct sampling of standard pdfs is feasible, but sampling of much more complicated pdfs is often required. Rejection sampling allows to exactly sample from univariate pdfs, but has the huge drawback of needing a case-by-case calculation of a comparison function that often reveals as a tremendous chore, whose results dramatically affect the efficiency of the sampling procedure. In this paper, we restrict ourselves to a pdf that is proportional to a product of standard distributions. From there, we show that an automated selection of both the comparison function and the upper bound is possible. Moreover, this choice is performed in order to optimize the sampling efficiency among a range of potential solutions. Finally, the method is illustrated on a few examples.  相似文献   
4.
Abstract

Markov chain Monte Carlo (MCMC) methods are currently enjoying a surge of interest within the statistical community. The goal of this work is to formalize and support two distinct adaptive strategies that typically accelerate the convergence of an MCMC algorithm. One approach is through resampling; the other incorporates adaptive switching of the transition kernel. Support is both by analytic arguments and simulation study. Application is envisioned in low-dimensional but nontrivial problems. Two pathological illustrations are presented. Connections with reparameterization are discussed as well as possible difficulties with infinitely often adaptation.  相似文献   
5.
Methods for simulation from multivariate Gaussian distributions restricted to be from outside an arbitrary ellipsoidal region are often needed in applications. A standard rejection algorithm that draws a sample from a multivariate Gaussian distribution and accepts it if it is outside the ellipsoid is often employed; however, this is computationally inefficient if the probability of that ellipsoid under the multivariate normal distribution is substantial. We provide a two-stage rejection sampling scheme for drawing samples from such a truncated distribution. Experiments show that the added complexity of the two-stage approach results in the standard algorithm being more efficient for small ellipsoids (i.e., with small rejection probability). However, as the size of the ellipsoid increases, the efficiency of the two-stage approach relative to the standard algorithm increases indefinitely. The relative efficiency also increases as the number of dimensions increases, as the centers of the ellipsoid and the multivariate Gaussian distribution come closer, and as the shape of the ellipsoid becomes more spherical. We provide results of simulation experiments conducted to quantify the relative efficiency over a range of parameter settings.  相似文献   
6.
Finner et al. (2012) provided multiple hypothesis testing procedures based on a nonlinear rejection curve for exact false discovery rate control. This paper constructs classes of such procedures and compares the most powerful procedure in each class to competing procedures.  相似文献   
7.
In this paper, we consider the single machine scheduling problem with release dates and rejection. A job is either rejected, in which case a rejection penalty has to be paid, or accepted and processed on the machine. The objective is to minimize the sum of the makespan of the accepted jobs and the total rejection penalty of the rejected jobs. We show that the problem is NP-hard in the ordinary sense. Then we provide two pseudo-polynomial-time algorithms. Consequently, two special cases can be solved in polynomial-time. Finally, a 2-approximation algorithm and a fully polynomial-time approximation scheme are given for the problem.  相似文献   
8.
Democratic processes may not take the welfare of future generations sufficiently into account and thus may not achieve sustainability. We introduce rejection/support rewards (RSRs) and show that a dual democratic mechanism–RSRs and elections–can achieve sustainability. RSRs stipulate that incumbents who are not re-elected, but obtain the majority support among young voters, receive a particular monetary or non-monetary reward. Such rejection/support rewards induce politicians to undertake long-term beneficial policies, but may invite excessive reward-seeking. We identify optimal RSRs under different informational circumstances.  相似文献   
9.
本文研究了聚砜酰胺超滤膜制备的工艺条件和膜分离性能之间的关系。求得膜的分离性能随预压时间、蒸发时间、沉淀浴温度和溶剂种类而变化的规律。  相似文献   
10.
A parallel (2, n − 2)-system is investigated here where two units start their operation simultaneously and any one of them is replaced instantaneously upon its failure by one of the (n − 2) cold standbys. We assume availability of n non-identical, non-repairable units for replacement or support. The system reliability is evaluated by recursive relations with unit-lifetimes Ti (i = 1, … , n) that have a general joint distribution function F(t). On the basis of the derived expression, simulation techniques have been developed for the evaluation of the system reliability and the mean time to failure, useful when dealing with large systems or correlated unit-lifetimes and less mathematically manageable distributions. Simulation results are presented for various lifetime distributions and comparisons are made with derived analytic results for some special distributions and moderate values of n.  相似文献   
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