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Virtual Measures: A Variance Reduction Technique for Simulation

Author

Listed:
  • Grace Carter

    (The Rand Corporation, Santa Monica, California)

  • Edward J. Ignall

    (Columbia University)

Abstract

A variance reduction technique is presented that is effective when the system characteristic to be estimated is strongly influenced by rare events. Applications to simulations of a simple inventory system and of the New York City Fire Department, where the rare events are back orders and serious fires respectively, are described. In these simulations, virtual measures reduced computer time needed to achieve a given statistical reliability to 1/2 to 1/20 of that needed with the usual direct estimators. Relationships to other variance reduction techniques are indicated.

Suggested Citation

  • Grace Carter & Edward J. Ignall, 1975. "Virtual Measures: A Variance Reduction Technique for Simulation," Management Science, INFORMS, vol. 21(6), pages 607-616, February.
    • Handle: RePEc:inm:ormnsc:v:21:y:1975:i:6:p:607-616
    DOI: 10.1287/mnsc.21.6.607
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    Cited by:

    1. E A Silver & H Naseraldin & D P Bischak, 2009. "Determining the reorder point and order-up-to-level in a periodic review system so as to achieve a desired fill rate and a desired average time between replenishments," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(9), pages 1244-1253, September.
    2. Linda V. Green & Peter J. Kolesar, 2004. "ANNIVERSARY ARTICLE: Improving Emergency Responsiveness with Management Science," Management Science, INFORMS, vol. 50(8), pages 1001-1014, August.
    3. Hopmans, A.C.M. & Kleijnen, J.P.C., 1978. "Importance sampling in systems simulation : A practical failure?," Other publications TiSEM 5ca90b5f-60b8-4d60-a723-6, Tilburg University, School of Economics and Management.
    4. Hopmans, A.C.M. & Kleijnen, J.P.C., 1979. "Importance sampling in systems simulation: a practical failure?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 21(2), pages 209-220.
    5. Yujing Lin & Barry L. Nelson & Linda Pei, 2019. "Virtual Statistics in Simulation via k Nearest Neighbors," INFORMS Journal on Computing, INFORMS, vol. 31(3), pages 576-592, July.

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