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Variance Reduction in Simulation via Random Hazards
Published online by Cambridge University Press: 27 July 2009
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.
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- Probability in the Engineering and Informational Sciences , Volume 4 , Issue 3 , July 1990 , pp. 229 - 309
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- Copyright © Cambridge University Press 1990
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