Variance Reduction in Simulation via Random Hazards

DOI10.1017/S0269964800001613zbMATH Open1134.65306MaRDI QIDQ3415971FDOQ3415971

Authors: Sheldon M. Ross 

Publication date: 19 January 2007

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

Recommendations

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

Mathematics Subject Classification ID

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

Cites Work

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

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

This page was built for publication: Variance Reduction in Simulation via Random Hazards

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3415971)