Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models

DOI10.1016/0378-4754(91)90020-4MaRDI QIDQ756445zbMATH OpenOpenAlexFDO

Authors Reuven Y. Rubinstein

Publication date 1991

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(91)90020-4

zbMATH Keywords

modified importance sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Cites work

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• A central-limit-theorem version of L= W
• A perspective on variance reduction in dynamic simulation experiments
• Importance Sampling for Stochastic Simulations
• Importance sampling in the Monte Carlo study of sequential tests
• Indirect Estimation Via L = λW
• Large deviations and rare events in the study of stochastic algorithms
• Monte Carlo Estimation under Different Distributions Using the Same Simulation
• Planning Queueing Simulations
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Sensitivity analysis and the ``what if problem in simulation analysis
• Sensitivity estimates based on one realization of a stochastic system†
• The Monte Carlo method
• The score function approach for sensitivity analysis of computer simulation models
• Variance Reduction Techniques for Digital Simulation
• Weighted Uniform Sampling — a Monte Carlo Technique for Reducing Variance

Cited in

(3)

• Sensitivity Analysis Using the Monte Carlo Acceptance-Rejection Method
• The score function approach for sensitivity analysis of computer simulation models
• Sensitivity analysis and the ``what if problem in simulation analysis

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