摘要
相关性会给蒙特卡罗模拟风险分析的可信性与准确性带来极大的影响,是蒙特卡罗模拟风险分析必须要解决的问题。相关性可以采用随机变量来表示,采用概率理论的方法来确定,以建立恰当的相关与不确定性的分析模型。本文结合国外相关文献的成果,提出了采用蒙特卡罗模拟风险分析中各种相关模型建立的方法及应具备的条件、需要注意的问题以及各自的特点进行了探讨,应用实例也验证了所介绍方法的正确性。
Correlation has great influence on the credibility and ac- curacy of Monte Carlo simulation analysis result,so it is a problem to be solved in Monte Carlo simulation.Correlation can be ex- pressed by random variables and calculated by probability theory so as to establish proper correlated and uncertain analysis model.Var- ious correlation matrix modeling methods and relative conditions,is- sues to be noted and the advantages of Monte-Carlo simulation are proposed based on relevant foreign literatures.The validity of the methods proposed is verified by application examples.
出处
《石油化工设计》
CAS
2007年第4期52-54,共3页
Petrochemical Design
关键词
相关模型
相关系数矩阵
一致性检验
Correlation model
Correlation coefficient matrix
Consistency checking
