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Random variable sampling simulation method

A technology of random variables and simulation methods, applied in the field of sampling simulation, can solve problems such as the inability to obtain the inverse function of random variables, and achieve the effect of strong applicability and wide application range.

Inactive Publication Date: 2018-09-21
SICHUAN UNIV
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Problems solved by technology

However, in the analysis of practical problems, it may not be possible to obtain the inverse function of the cumulative distribution function of some random variables, so it is necessary to develop a random variable sampling simulation method that does not depend on the inverse function of the cumulative distribution function

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Embodiment Construction

[0018] In order to make the purpose, technical solutions and advantages of the present invention clearer, the following technical solutions in the present invention are clearly and completely described. Obviously, the described embodiments are some embodiments of the present invention, rather than all embodiments. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without creative efforts fall within the protection scope of the present invention.

[0019] Such as figure 1 Shown, the sampling simulation method of random variable described in the present invention, comprises the following steps,

[0020] 1. Determine the empirical cumulative distribution function of the random variable X:

[0021] Such as figure 2 As shown, the area enclosed by the probability density curve of the random variable X and the abscissa axis is divided into 108 equal-width vertical bars, and the left intersection point of the p...

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Abstract

The invention provides a random variable sampling simulation method, which comprises the following steps of: dividing an area, enclosed by a probability density curve of a random variable X and a horizontal coordinate axis, into n vertical bars with equal width, calculating an empirical cumulative distribution function FX (xi) of the random variable X; obtaining a sample value x of the random variable X by a linear interpolation method according to the empirical cumulative distribution function FX (xi) of the random variable X. According to the random variable sampling simulation method, the sampling simulation can be carried out only knowing the probability density curve of the random variable, the inverse function of the cumulative distribution function of random variable is not required, and the method is suitable for sampling simulation of random variable of arbitrary distribution type, and has the advantages of wider application range and stronger applicability to practical problem analysis.

Description

technical field [0001] The invention belongs to a sampling simulation method, in particular to a random variable sampling simulation method. Background technique [0002] Sampling simulation is a common method for structural reliability analysis and system risk analysis. It has the advantages of simple principle, convenient operation, and good robustness. It is widely used in the field of uncertainty research. Taking system risk analysis as an example, the basic principle of the sampling simulation method is: to generate a set of sample values ​​of random variables that affect the system response as the input value of the system; through the mapping relationship between system input and output, the output of the system response is obtained value; evaluate the system risk through the statistical analysis of the output value of the system response. [0003] In structural reliability analysis and system risk analysis, in addition to random variables with normal distribution or...

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Application Information

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IPC IPC(8): G06F17/50G06F17/18
CPCG06F17/18G06F30/20
Inventor 吴震宇陈建康李艳玲裴亮张瀚
Owner SICHUAN UNIV
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