Hamilton Monte Carlo (HMC)方法是一种常用的快速抽样方法.在对哈密顿方程进行抽样时,HMC方法使用Leapfrog积分器,这可能造成方程的位置及动量的迭代值在时间上不同步,其产生的误差会降低抽样效率及抽样结果的稳定性.为此,本文提出了IH...Hamilton Monte Carlo (HMC)方法是一种常用的快速抽样方法.在对哈密顿方程进行抽样时,HMC方法使用Leapfrog积分器,这可能造成方程的位置及动量的迭代值在时间上不同步,其产生的误差会降低抽样效率及抽样结果的稳定性.为此,本文提出了IHMC(Improved HMC)方法,该方法用Velocity Verlet积分器替代Leapfrog积分器,每次迭代时都计算两变量在同一时刻的值.为验证方法的效果,本文进行了两个实验,一个是将该方法应用于非对称随机波动率模型(RASV模型)的参数估计,另一个是将方法应用于方差伽马分布的抽样,结果显示:IHMC方法比HMC方法的效率更高、结果更稳定.展开更多
针对指标-3型积分代数方程的数值解,研究其配置边值方法,基于插值多项式,利用未计算的近似值,通过将原方程进行离散化构造了指标-3型积分代数方程的配置边值方法,并分析了该方法的可解性和收敛性,证明了利用该方法求解指标-3型积分代数...针对指标-3型积分代数方程的数值解,研究其配置边值方法,基于插值多项式,利用未计算的近似值,通过将原方程进行离散化构造了指标-3型积分代数方程的配置边值方法,并分析了该方法的可解性和收敛性,证明了利用该方法求解指标-3型积分代数方程可达到较高收敛阶,最后通过数值实验验证了方法的有效性。Regarding the numerical solution of the index-3 integral algebraic equation, the collocation boundary value method was investigated. Based on the interpolation polynomial and the utilization of uncomputed approximate values, the collocation boundary value method for the index-3 integral algebraic equation was constructed by discretizing the original equation. The solvability and convergence of this method were analyzed. It was demonstrated that the application of this method in solving the index-3 integral algebraic equation can achieve a relatively high convergence order. Finally, the validity of the method was verified through numerical experiments.展开更多
文摘Hamilton Monte Carlo (HMC)方法是一种常用的快速抽样方法.在对哈密顿方程进行抽样时,HMC方法使用Leapfrog积分器,这可能造成方程的位置及动量的迭代值在时间上不同步,其产生的误差会降低抽样效率及抽样结果的稳定性.为此,本文提出了IHMC(Improved HMC)方法,该方法用Velocity Verlet积分器替代Leapfrog积分器,每次迭代时都计算两变量在同一时刻的值.为验证方法的效果,本文进行了两个实验,一个是将该方法应用于非对称随机波动率模型(RASV模型)的参数估计,另一个是将方法应用于方差伽马分布的抽样,结果显示:IHMC方法比HMC方法的效率更高、结果更稳定.
文摘针对指标-3型积分代数方程的数值解,研究其配置边值方法,基于插值多项式,利用未计算的近似值,通过将原方程进行离散化构造了指标-3型积分代数方程的配置边值方法,并分析了该方法的可解性和收敛性,证明了利用该方法求解指标-3型积分代数方程可达到较高收敛阶,最后通过数值实验验证了方法的有效性。Regarding the numerical solution of the index-3 integral algebraic equation, the collocation boundary value method was investigated. Based on the interpolation polynomial and the utilization of uncomputed approximate values, the collocation boundary value method for the index-3 integral algebraic equation was constructed by discretizing the original equation. The solvability and convergence of this method were analyzed. It was demonstrated that the application of this method in solving the index-3 integral algebraic equation can achieve a relatively high convergence order. Finally, the validity of the method was verified through numerical experiments.