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More on Conditioned Sampling in the Simulation of Stochastic Networks

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  • Mark B. Garman

    (University of California, Berkeley)

Abstract

The technique of conditioned sampling has been shown to improve simulation efficiency in the estimation of stochastic activity network duration c.d.f.'s. This paper describes a.method for generalizing the conditioned sampling approach from its current use of product-form estimators to the use of product/convolution-form estimators. Estimators of the latter type are constructed and demonstrated to require fewer samples per realization (hence increased estimation accuracy) in almost all networks. An algorithm for estimator construction is presented and proven to apply to any given activity network. It is also shown that the derived product/convolution-form estimators may require a precedence structure within the sampling sequence which creates their corresponding realizations.

Suggested Citation

  • Mark B. Garman, 1972. "More on Conditioned Sampling in the Simulation of Stochastic Networks," Management Science, INFORMS, vol. 19(1), pages 90-95, September.
    • Handle: RePEc:inm:ormnsc:v:19:y:1972:i:1:p:90-95
    DOI: 10.1287/mnsc.19.1.90
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    Cited by:

    1. Dawson, C. W., 1995. "A dynamic sampling technique for the simulation of probabilistic and generalized activity networks," Omega, Elsevier, vol. 23(5), pages 557-566, October.
    2. Amir Azaron & Hideki Katagiri & Masatoshi Sakawa, 2007. "Time-cost trade-off via optimal control theory in Markov PERT networks," Annals of Operations Research, Springer, vol. 150(1), pages 47-64, March.
    3. Sigal, C.E. & Pritsker, A.A.B. & Solberg, J.J., 1979. "The use of cutsets in Monte Carlo analysis of stochastic networks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 21(4), pages 376-384.
    4. Azaron, Amir & Katagiri, Hideki & Sakawa, Masatoshi & Kato, Kosuke & Memariani, Azizollah, 2006. "A multi-objective resource allocation problem in PERT networks," European Journal of Operational Research, Elsevier, vol. 172(3), pages 838-854, August.

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