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Conditional Monte Carlo: A Simulation Technique for Stochastic Network Analysis
John M. Burt, Jr. and Mark B. Garman
Vol. 18, No. 3, Theory Series (Nov., 1971), pp. 207-217
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/2629059
Page Count: 11
You can always find the topics here!Topics: Simulations, Monte Carlo methods, Random variables, Mathematical problems, Wheatstone bridges, Analytics, Operations research, Approximation, Management science, Estimated cost to complete
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This paper is concerned with a simulation procedure for estimating the distribution functions of the time to complete stochastic networks. The procedure, called conditional Monte Carlo, is shown to be substantially more efficient (in terms of the computational effort required) than traditional simulation methods. The efficacy of conditional Monte Carlo and its use in conjunction with other Monte Carlo methods is illustrated for the Wheatstone bridge network. The applicability of the procedure to larger networks, as well as other stochastic systems, is discussed, and a general method is given for its implementation.
Management Science © 1971 INFORMS