In the present paper, the authors suggest an algorithm to evaluate the multivariate normal integrals under the supposition that the correlation matrix R is quasi-decomposable, in which we have rij = aiaj for most i, j...
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In the present paper, the authors suggest an algorithm to evaluate the multivariate normal integrals under the supposition that the correlation matrix R is quasi-decomposable, in which we have rij = aiaj for most i, j, and rij = aiaj + bij for the others, where bij’s are the nonzero deviations. The algorithm makes the high-dimensional normal distribution reduce to a 2-dimensional or 3-dimensional integral which can be evaluated by the numerical method with a high *** supposition is close to what we encounter in practice. When correlation matrix is arbitrary, we suggest an approximate algorithm with a medium precision, it is, in general, better than some approximate algorithms. The simulation results of about 20000 high-dimensional integrals showed that the present algorithms were very efficient.
Both the classical Gauss-Hermite quadrature for dx and the littleknown Gaussian quadrature for given by Steen-Byrne-Gelbard (1969)given by Steen-Byrne-Gelbard (1969)can be used to evaluate the multivariate normal inte...
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Both the classical Gauss-Hermite quadrature for dx and the littleknown Gaussian quadrature for given by Steen-Byrne-Gelbard (1969)given by Steen-Byrne-Gelbard (1969)can be used to evaluate the multivariate normal integrals. In the present paper, we compare the above quadratures for the multivariate normal integrals. The simulated results show that the efficiencies of two formulas have not the significant difference if the condition of integral is very good, however, when the dimension of integral is high or the condition of correlation matrix of the multivariate normal distribution is not good, Steen ***. formula is more efficient. In appendis, an expanded table of Gaussian quadrature for Steen ***. is given by the present author.
In this papert we discuss the inverse problem of 1-dimensional acoustic wave equation and propose an approximate inversion method, called multi-reflection elimination method, with which the approximate reflectivity fu...
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In this papert we discuss the inverse problem of 1-dimensional acoustic wave equation and propose an approximate inversion method, called multi-reflection elimination method, with which the approximate reflectivity function can be directly obtained by applying a certain transform to the response. The computation efforts for such method is only of the order N log N, much less than that of solving the direct problem, which is O(N2). On the basis of the proposed method, we also construct an iterative algorithm, and prove that the convergent order of iteration is two.
A new finite volume scheme, based on first order monotone scheme and limited linear reconstruction, is constructed for scalar hyperbolic conservation laws in two dimension,the scheme satisfies the maximum principle an...
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A new finite volume scheme, based on first order monotone scheme and limited linear reconstruction, is constructed for scalar hyperbolic conservation laws in two dimension,the scheme satisfies the maximum principle and approximation the flux with second order accuracy. Numerical results for constant coefficient linear advection and Burgers’equation are presented.
SLMQN is a subspace limited memory quasi-Newton algorithm for solving largescale bound constrained nonlinear programming problems. The algorithm is suitable to these large problems in which the Hessian matrix is diffi...
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SLMQN is a subspace limited memory quasi-Newton algorithm for solving largescale bound constrained nonlinear programming problems. The algorithm is suitable to these large problems in which the Hessian matrix is difficult to compute or is dense,or the number of variables is too large to store and compute an n x n matris. Due to less storage requirement, this algorithm can be used in PCs for solving medium-sized and large problems. The algorithm is implemented in Fortran 77.
In this paper, we develop a two-level additive Schwarz preconditioner for Morley element using nonnested meshes. We define an intergrid transfer operator that satisfies certain stable approximation properties by using...
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In this paper, we develop a two-level additive Schwarz preconditioner for Morley element using nonnested meshes. We define an intergrid transfer operator that satisfies certain stable approximation properties by using a conforming interpolation operator and construct a uniformly bounded decomposition for the finite element space. Both coarse and fine grid spaces are nonconforming. We get optimal convergence properties of the additive Schwarz algorithm that is constructed on nonnested meshes and with a not necessarily shape regular subdomain partitioning. Our analysis is based on the theory of Dryja and *** is interesting to mention that when coarse and fine spaces are all nonconforming, a natural intergrid operator seems to be one defined by taking averages of the nodal parameters. In this way, we obtain the stable factor (H/h)3/2, and show that this factor can not be improved. However, to get an optimal preconditioner,we need in general the stability with a factor C independent of mesh ***. the latter can not be used in this case.
In this paper, the elastic contact problems in which no friction is present andtheir linear finite element approximation have been considered. First the elasticcontact problems are classified intuitively according to ...
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In this paper, the elastic contact problems in which no friction is present andtheir linear finite element approximation have been considered. First the elasticcontact problems are classified intuitively according to the different location ofcontact boundary, and for one cases a new proof of existence of the solution ofproblem has been presented. Next a general error estimation of linear finite elementapproximation to the contact problem has been obtained under weaker assumptionfor the regularity of the solution of problem.
This paper is devoted to study of an iterative procedure for domain decomposition method of second order elliptic problem with mixed boundary conditions (i.e., Dirichlet condition on a part of boundary and Neumann con...
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This paper is devoted to study of an iterative procedure for domain decomposition method of second order elliptic problem with mixed boundary conditions (i.e., Dirichlet condition on a part of boundary and Neumann condition on the another part of boundary). For the pure Dirichlet problem, Marini and Quarteroni [3], [4] considered a similar approach, which is extended to more complex problem in this paper.
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