請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18193完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 韓傳祥 | |
| dc.contributor.author | Che-hsiu Cheng | en |
| dc.contributor.author | 鄭哲修 | zh_TW |
| dc.date.accessioned | 2021-06-08T00:54:23Z | - |
| dc.date.copyright | 2015-08-11 | |
| dc.date.issued | 2015 | |
| dc.date.submitted | 2015-04-02 | |
| dc.identifier.citation | [1] Chuan-Hsiang Han. Optimal variance minimization: A new importance sampling
method by high-dimensional embedding. working paper, 3 2014. [2] Munehisa Fujita and Rüdiger Rackwitz. Updating first-and second-order reliability estimates by importance sampling. Structural Engineering and Earthquake Engineering, JSCE, 5(1):31s–37s, 1988. [3] ComitéEuropéen du Béton. First order reliability concepts for design codes. Bulletin D’Information, (112Joint), 1976. [4] Kok-Kwang Phoon and Farrokh Nadim. Modeling non-gaussian random vectors for form: State-of-the-art review. In International workshop on risk assessment in site characterization and geotechnical design. India Institute of Science, Bangalore, India, pages 26–27, 2004. [5] Zakoua Guédé, B Sudret, and M Lemaire. Life-time reliability based assessment of structures submitted to thermal fatigue. International journal of fatigue, 29(7): 1359–1373, 2007. [6] Omri Sarig. Lecture notes on ergodic theory, 2009. [7] Armen Der Kiureghian et al. First-and second-order reliability methods. Engineering design reliability handbook, pages 14–1, 2005. [8] Rabi De and Tanya Tamarchenko. System and method for determining value-at-risk using form/sorm, 2001. 29 [9] DH Ebberle, LE Newlin, S Sutharshana, and Nicholas R Moore. Alternative computational approaches for probabilistic fatigue analysis. AIAA Paper, 1359:1995, 1995. [10] Oluwasanmi Koyejo and Joydeep Ghosh. A representation approach for relative entropy minimization with expectation constraints. In ICML Workshop on Divergences and Divergence Learning (WDDL), 2013. [11] Yasemin Altun and Alex Smola. Unifying divergence minimization and statistical inference via convex duality. In Learning theory, pages 139–153. Springer, 2006. [12] Imre Csiszár. I-divergence geometry of probability distributions and minimization problems. The Annals of Probability, pages 146–158, 1975. [13] Definitions and basic properties. In An Introduction to Copulas, Springer Series in Statistics, pages 7–49. Springer New York, 2006. [14] Solomon Kullback. A lower bound for discrimination information in terms of variation (corresp.). Information Theory, IEEE Transactions on, 13(1):126–127, 1967. [15] Chia-Ping Chen. Entropy and mutual information–notes on information theory. [16] Christian Léonard. Minimization of entropy functionals. Journal of Mathematical Analysis and applications, 346(1):183–204, 2008. [17] O. Ditlevsen and H.O. Madsen. Structural Reliability Methods. Series; 9. Wiley, 1996. [18] SK Au, C Papadimitriou, and JL Beck. Reliability of uncertain dynamical systems with multiple design points. Structural Safety, 21(2):113–133, 1999. [19] Steven E Shreve. Stochastic calculus for finance II: Continuous-time models, volume 11. Springer Science & Business Media, 2004. [20] Neil Shephard, Ole E Barndorff-Nielsen, et al. Basics of levy processes. Technical report, 2012. 30 [21] Dorje C Brody, Lane P Hughston, and Xun Yang. Signal processing with levy information. arXiv preprint arXiv:1207.4028, 2012. 31 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18193 | - |
| dc.description.abstract | 本文說明在金融、土木工程以及風險管理常用的「設計點重要抽樣法」，其理論可以被整合入「高維度嵌入相對熵重要抽樣法」。 | zh_TW |
| dc.description.abstract | This paper demonstrates that the design-point importance sampling, which is prevalent in civil and financial engineering as well as risk management, can be theoretically justified by using the high-dimensional embedding entropy-based importance sampling. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T00:54:23Z (GMT). No. of bitstreams: 1 ntu-104-R00221031-1.pdf: 534549 bytes, checksum: 2432918fd33d7a45cd79cc039ad2f392 (MD5) Previous issue date: 2015 | en |
| dc.description.tableofcontents | ဦ㽋ᔿᄐᜎᛉ i
中文ḵ要ii Abstract iii Contents iv List of Figures vi List of Tables vii 1 Introduction 1 2 FORM-based Importance Sampling 3 3 Entropy-based Importance Sampling 10 3.1 Existence and Uniqueness of Minimizers . . . . . . . . . . . . . . . . . . 15 3.2 Dealing with Multiple Design Points . . . . . . . . . . . . . . . . . . . . 19 3.3 Entropy Minimization for Lévy Processes . . . . . . . . . . . . . . . . . 19 3.3.1 Poisson Process . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 3.3.2 Compound Poisson Process . . . . . . . . . . . . . . . . . . . . 21 3.3.3 Gamma Process . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 3.3.4 Skellam Process . . . . . . . . . . . . . . . . . . . . . . . . . . 24 4 Explaining FORM-based Importance Sampling via Entropy-based Imporiv tance Sampling 26 5 Concluding Remarks 28 Bibliography 29 | |
| dc.language.iso | en | |
| dc.title | 設計點重要抽樣法在新架構下的解釋 | zh_TW |
| dc.title | Explanation of Design-point Importance Sampling in a New Framework | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 姜祖恕,吳慶堂 | |
| dc.subject.keyword | 設計點,重要抽樣法,相對熵,失敗區域,保機率變換,可靠度分析, | zh_TW |
| dc.subject.keyword | design point,importance sampling,relative entropy,failure region,iso-probability transformation,reliability analysis, | en |
| dc.relation.page | 31 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2015-04-02 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 數學研究所 | zh_TW |
| 顯示於系所單位： | 數學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-104-1.pdf 未授權公開取用 | 522.02 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。