Variance Reduction in Simulation via Random Hazards

DOI10.1017/S0269964800001613MaRDI QIDQ3415971zbMATH OpenFDO

Authors Sheldon M. Ross

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Recommendations

• The total hazard construction, antithetic variates and simulation of stochastic systems
• Variance reduction by the use of common and antithetic random variables
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• System Reliability By Simulation: Random Hazards Versus Importance Sampling
• On the Variance of the Hazard Estimator in Simulation

Cites work

• A note on randomly evolving hazard rate functions
• The observed hazard and multicomponent systems

Cited in

(14)

• An Improvement to the Total Hazard Method for System Reliability Simulation
• Variance Reduction Techniques for Digital Simulation
• A perspective on variance reduction in dynamic simulation experiments
• Methods of decreasing a variance by simulation and the analysis of their effectiveness
• On the Variance of the Hazard Estimator in Simulation
• Reducing Simulation Input-Model Risk via Input Model Averaging
• On the generalization of the hazard rate twisting-based simulation approach
• Bias and variance reduction in computer simulation studies
• The analysis of some algorithms for generating random variates with a given hazard rate
• System Reliability By Simulation: Random Hazards Versus Importance Sampling
• Simulating the average run length for cusum schemes using variance reduction techniques
• The total hazard construction, antithetic variates and simulation of stochastic systems
• Using permutations in regenerative simulations to reduce variance
• A new simulation method based on the RVR principle for the rare event network reliability problem

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