Estimating Network Characteristics in Stochastic Activity Networks

George S. Fishman
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George S. Fishman: Curriculum in Operations Research and Systems Analysis, University of North Carolina, Chapel Hill, North Carolina 27514

Management Science, 1985, vol. 31, issue 5, 579-593

Abstract: This paper describes a Monte Carlo method based on the theory of quasirandom points for estimating the distribution functions and means of network completion time and shortest path time in a stochastic activity network. In particular, the method leads to estimators whose absolute errors converge as (log K) N /K, where K denotes the number of replications collected in the experiment and N is the number of dimensions for sampling. This rate compares favorably with the standard error of estimate O(1/K 1/2 ) which obtains for experiments that use random sampling. Moreover, since quasirandom points are nonrandom the upper bound (log K) N /K is deterministic in contrast to the random sampling rate O(1/K 1/2 ) which is probabilistic. The paper demonstrates how the use of a cutset of the network reduces N in the bound when estimating the distribution functions. Two examples illustrate the benefits and costs of using quasirandom points.

Keywords: Monte Carlo method; networks; quasirandom points; variance reduction (search for similar items in EconPapers)
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:31:y:1985:i:5:p:579-593

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