Parallel Monte Carlo for entropy-robust estimation (Q2788878)
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scientific article; zbMATH DE number 6544206
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parallel Monte Carlo for entropy-robust estimation |
scientific article; zbMATH DE number 6544206 |
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22 February 2016
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parallel algorithms
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randomized algorithms
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distributions
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Monte Carlo methods
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Parallel Monte Carlo for entropy-robust estimation (English)
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The problem of a non-parametric estimation of the probability density distribution for stochastic dynamical models characteristics with structural non-linearities of a small volume of samples is considered. It is found that optimal probability density distributions are related with an exponential class whose parameters are Lagrange multipliers. A system of equations containing integral components is developed to find the multipliers. The system is solved by parallel algorithms on the base of the Monte Carlo method.
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