Search Results - subject:"Variance Reduction"

Simulating GI/G/k Queues in Heavy Traffic

Minh, Do Le - In: Management Science 33 (1987) 9, pp. 1192-1199

This paper proposes a new consistent estimator for the expected waiting time in queue in the simulation of a multiserver queueing system. This estimator is called the "error estimator" because it estimates only the error involved in the use of Kingman's heavy traffic approximation. Not only does...

Persistent link: https://www.econbiz.de/10009208511

Note---An Improved Conditional Monte Carlo Technique for the Stochastic Shortest Path Problem

Adlakha, Veena G. - In: Management Science 32 (1986) 10, pp. 1360-1367

This paper describes a simulation procedure for estimating the distribution function of the shortest path length in a network with random arc lengths. The method extends the concept of conditional Monte Carlo utilizing special properties of the Uniformly Directed Cutsets and the unique arcs. The...

Persistent link: https://www.econbiz.de/10009203881

Using Simulation to Estimate First Passage Distribution

Ross, Sheldon M.; Schechner, Zvi - In: Management Science 31 (1985) 2, pp. 224-234

Consider a discrete time Markov process {X<sub>n</sub>, n 0}. For a given subset \scr{A} of the state space, consider the problem of using simulation to estimate the number of transitions it takes the process to enter \scr{A}. Using estimators based on the "observed hazard," we are able to improve on the...

Persistent link: https://www.econbiz.de/10009209093

Estimating Network Characteristics in Stochastic Activity Networks

Fishman, George S. - In: Management Science 31 (1985) 5, pp. 579-593

This paper describes a Monte Carlo method based on the theory of quasirandom points for estimating the distribution functions and means of network completion time and shortest path time in a stochastic activity network. In particular, the method leads to estimators whose absolute errors converge...

Persistent link: https://www.econbiz.de/10009218434

Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables

Wilson, J. R.; Pritsker, A. A. B. - In: Management Science 30 (1984) 12, pp. 1459-1472

the efficiency of regenerative queueing simulations. We adapted these variance reduction techniques to the estimation …

Persistent link: https://www.econbiz.de/10009191264

Variance reduction techniques in stochastic shortest route analysis: application procedures and results

Grant, Floyd H.; Solberg, James J. - In: Mathematics and Computers in Simulation (MATCOM) 25 (1983) 4, pp. 366-375

Variance reduction techniques are of much interest to simulation practitioners. However, they typically present … development of application procedures for three variance reduction techniques: antithetic sampling, control variates, and … variance reduction techniques investigated work well. Antithetic sampling was found to be far superior to the other techniques …

Persistent link: https://www.econbiz.de/10010749750

A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations

Lavenberg, S. S.; Welch, P. D. - In: Management Science 27 (1981) 3, pp. 322-335

This is a survey paper on the application of control variables to increase the efficiency of discrete event simulations. The emphasis is on the practical problems and potential of applying the method in the simulation of complex systems. The basic theory of control variables is reviewed and the...

Persistent link: https://www.econbiz.de/10009191110