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Variance Reduction in Simulation via Random Hazards

Published online by Cambridge University Press:  27 July 2009

Sheldon M. Ross
Sheldon M. Ross
Affiliation:
Department of Industrial Engineering and Operations ResearchUniversity of California, Berkeley, California 94720
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Abstract

The use of the total hazard variable in simulation is studied. When estimating the mean time until a certain event occurs, this variable can be a powerful variance-reducing control variate. When estimating a small probability, it can be utilized as a direct estimator. Applications to reliability, quality control, and queueing are given.

Information

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 4 , Issue 3 , July 1990 , pp. 229 - 309
Copyright
Copyright © Cambridge University Press 1990

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References

REFERENCES

Brown, M. & Ross, S. (1982). The observed hazard and multicomponent systems. Naval Research Logistics Quarterly 29(3): 679–683.CrossRefGoogle Scholar
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Schechner, Z. (1982). The total hazard is exponential. Naval Research Logistics Quarterly 29(3): 684–690.Google Scholar
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