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)

Full work available at URL https://doi.org/10.1017/S0269964800001613

Mathematics Subject Classification ID

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

Recommendations

• The total hazard construction, antithetic variates and simulation of stochastic systems
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Cites work

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

Cited in

(15)

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

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