A GRADIENT TECHNIQUE OF ADAPTIVE MONTE CARLO.

Abstract

A technique of Monte Carlo estimation is presented which is 'adaptive' in the sense that its efficiency increases as the sampling proceeds. It is based on sequentially estimating the gradient of the variance and following the path of steepest descent. The technique is applied to a problem of estimating the survival probability of a repairable machine. (Author)

Document Details

Document Type
Technical Report
Publication Date
Sep 08, 1965
Accession Number
AD0621997

Entities

People

  • E. L. Pugh

Organizations

  • System Development Corporation

Tags

DTIC Thesaurus Topics

  • Efficiency
  • Probability
  • Sampling
  • Survival

Readers

  • Operations Research
  • Regression Analysis.