Hostname: page-component-7dd5485656-wlg5v Total loading time: 0 Render date: 2025-10-31T06:39:25.025Z Has data issue: false hasContentIssue false
  • English
  • Français

Variance Reduction in Simulation via Random Hazards

Published online by Cambridge University Press:  27 July 2009

Sheldon M. Ross
Sheldon M. Ross
Affiliation:
Department of Industrial Engineering and Operations ResearchUniversity of California, Berkeley, California 94720
Get access Rights & Permissions [Opens in a new window]

Abstract

The use of the total hazard variable in simulation is studied. When estimating the mean time until a certain event occurs, this variable can be a powerful variance-reducing control variate. When estimating a small probability, it can be utilized as a direct estimator. Applications to reliability, quality control, and queueing are given.

Information

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 4 , Issue 3 , July 1990 , pp. 229 - 309
Copyright
Copyright © Cambridge University Press 1990

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

REFERENCES

Brown, M. & Ross, S. (1982). The observed hazard and multicomponent systems. Naval Research Logistics Quarterly 29(3): 679–683.CrossRefGoogle Scholar
Ross, S. (1990). A course in simulation. New York: MacMillan.Google Scholar
Ross, S. & Schechner, Z. (1985) Using simulation to estimate first passage distributions. Management Science. 31 (2): 224–235.CrossRefGoogle Scholar
Schechner, Z. (1982). The total hazard is exponential. Naval Research Logistics Quarterly 29(3): 684–690.Google Scholar
Walrand, J. (1988). In lazeolla, G., Courtois, P.J., & Boxma, O. (eds.), Quick simulation of queueing networks: an introduction, computer performance and reliability. Amsterdam: Elsevier North- Holland, 1988.Google Scholar