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

We define modified importance sampling and discuss conditions under which variance reduction is possible relative to the Crude Monte Carlo method. Application of modified importance sampling to the “what if” problem and to sensitivity analysis of discrete-event systems are given. Numerical results are presented as well.

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Year of publication:	1991
Authors:	Rubinstein, Reuven Y.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 33.1991, 1, p. 1-22
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011050316