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研究生:鄭哲修
研究生(外文):Che-hsiu Cheng
論文名稱:設計點重要抽樣法在新架構下的解釋
論文名稱(外文):Explanation of Design-point Importance Sampling in a New Framework
指導教授:韓傳祥韓傳祥引用關係
口試委員:姜祖恕吳慶堂
口試日期:2014-07-28
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:數學研究所
學門:數學及統計學門
學類:數學學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:英文
論文頁數:31
中文關鍵詞: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
外文關鍵詞:design pointimportance samplingrelative entropyfailure regioniso-probability transformationreliability analysis
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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」。

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.

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