IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v161y2019icp93-101.html
   My bibliography  Save this article

Faster estimates of the mean of bounded random variables

Author

Listed:
  • Huber, Mark
  • Jones, Bo

Abstract

This work presents a new adaptive algorithm for robustly estimating the mean of a bounded random variable with unknown variance. Previous algorithms came within a constant factor of the best possible average number of samples for this problem, but the constant was large enough to discourage use. Here we present an algorithm that uses at most 40% as many samples on average as the previous approach, and runs as quickly as Central Limit Theorem based heuristic estimates (to first order) on a large class of problems. The method is illustrated using a network reliability problem and importance sampling.

Suggested Citation

  • Huber, Mark & Jones, Bo, 2019. "Faster estimates of the mean of bounded random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 161(C), pages 93-101.
  • Handle: RePEc:eee:matcom:v:161:y:2019:i:c:p:93-101
    DOI: 10.1016/j.matcom.2019.01.011
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S037847541930031X
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.matcom.2019.01.011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pierre L’Ecuyer & Bruno Tuffin, 2011. "Approximating zero-variance importance sampling in a reliability setting," Annals of Operations Research, Springer, vol. 189(1), pages 277-297, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lirong Cui & Shijia Du & Aofu Zhang, 2014. "Reliability measures for two-part partition of states for aggregated Markov repairable systems," Annals of Operations Research, Springer, vol. 212(1), pages 93-114, January.
    2. Amarjit Budhiraja & Shu Lu & Yang Yu & Quoc Tran-Dinh, 2021. "Minimization of a class of rare event probabilities and buffered probabilities of exceedance," Annals of Operations Research, Springer, vol. 302(1), pages 49-83, July.
    3. Ruijters, Enno & Reijsbergen, Daniël & de Boer, Pieter-Tjerk & Stoelinga, Mariëlle, 2019. "Rare event simulation for dynamic fault trees," Reliability Engineering and System Safety, Elsevier, vol. 186(C), pages 220-231.
    4. Villén-Altamirano, J., 2014. "Asymptotic optimality of RESTART estimators in highly dependable systems," Reliability Engineering and System Safety, Elsevier, vol. 130(C), pages 115-124.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:161:y:2019:i:c:p:93-101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.