Monte Carlo Estimation under Different Distributions Using the Same Simulation

摘要

Two methods for reducing the computer time necessary to investigate changes in distribution of random inputs of large simulation computer codes are presented. The first method produces unbiased estimators of functions of the output variable under the new distribution of the inputs. The second method generates a subset of the original outputs which has a distribution corresponding to the new distribution of inputs. Efficiencies of the two methods are examined. (ERA citation 09:034985)