Journal of the Korea Society for Simulation (한국시뮬레이션학회논문지)

The Korea Society for Simulation (한국시뮬레이션학회)
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Control Variates for Percentile Estimation of Project Completion Time in PERT Network

통제변수를 이용한 PERT 네트워크에서 프로젝트 완료확률의 추정

  • 권치명 (동아대학교 경영대학 경영정보과학부)
  • Published : 2000.12.01
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Abstract

Often system analysts are interested in the estimation of percentile for system performance. For instance, in PERT network system, the percentile that the project. Typically the control variate method is used to reduce the variability of mean response using the correlation between the response and the control variates with a little additional cost during the course of simulation. In the same spirit, we apply this method to estimate the percentile of project completion time in PERT system, and evaluate the efficiency of the controlled estimator for its percentile.1 Simulation results indicate that the controlled estimators are more effective in reducing the variances of estimators than the simple estimators, however those tend to a little underestimate the percentiles for some critical values. We need more simulation experiments to examine such a kind of bias problem. We expect this research presents a step forward in the area of variance reduction techniques of stochastic simulation.

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