A new simulation approach to estimating expected values of functions of Bernoulli random variables under certain types of dependencies

Sheldon Ross

IISE Transactions, 2009, vol. 41, issue 1, 81-85

Abstract: Consider an n-component system, where each component either works or is failed. With Xi equal to one if component i works and zero otherwise, a new simulation approach is presented that is based on an innovative use of stratified sampling, for estimating E[h(X1, …, Xn)], when h is a monotone function and the vector X1, …, Xn is exchangeable. It is shown how to extend the proposed approach to the case where there is a random environmental parameter Θ such that, conditional on Θ = θ, the components act independently, with component i working with probability θ pi. Improvements in the method when the components are independent are also indicated.

Date: 2009
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DOI: 10.1080/07408170802322705

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