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Een toepassing van “importance sampling”

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  • J. P. C. KLEIJNEN

Abstract

Summary This paper describes an experiment with “importance sampling”, to show how much reduction of the computation time and sample size can be achieved in comparison with the usual Monte Carlo method. A comparison is made between each of the three methods of “importance sampling” and the usual Monte Carlo method by the determination of the expression Of the three methods A, B and C the first one uses the shifted exponential distribution, the second one uses the gamma distribution, and the third one uses the exponential distribution with modified parameter. These three methods have all smaller variances, ranges and sample sizes than the usual Monte Carlo method. Their order of preference is A, B, C. With respect to computing time only the method A is significantly better. So only the method A is an improvement in respect of both the sample size and the computing time.

Suggested Citation

  • J. P. C. Kleijnen, 1968. "Een toepassing van “importance sampling”," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 22(3), pages 179-198, September.
    • Handle: RePEc:bla:stanee:v:22:y:1968:i:3:p:179-198
    DOI: 10.1111/j.1467-9574.1960.tb00631.x
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