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Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models

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  • Rubinstein, Reuven Y.

Abstract

We define modified importance sampling and discuss conditions under which variance reduction is possible relative to the Crude Monte Carlo method. Application of modified importance sampling to the “what if” problem and to sensitivity analysis of discrete-event systems are given. Numerical results are presented as well.

Suggested Citation

  • Rubinstein, Reuven Y., 1991. "Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(1), pages 1-22.
    • Handle: RePEc:eee:matcom:v:33:y:1991:i:1:p:1-22
    DOI: 10.1016/0378-4754(91)90020-4
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    References listed on IDEAS

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    1. Rubinstein, Reuven Y., 1986. "The score function approach for sensitivity analysis of computer simulation models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 28(5), pages 351-379.
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