Simulation of stochastic activity networks using path control variates

Avramidis, Athanassios N., Bauer, Kenneth W. and Wilson, James R. (1991) Simulation of stochastic activity networks using path control variates. Naval Research Logistics (NRL), 38 (2), 183-201. (doi:10.1002/1520-6750(199104)38:2<183::AID-NAV3220380206>3.0.CO;2-V).

Abstract

This article details several procedures for using path control variates to improve the accuracy of simulation-based point and confidence-interval estimators of the mean completion time of a stochastic activity network (SAN). Because each path control variate is the duration of the corresponding directed path in the network from the source to the sink, the vector of selected path controls has both a known mean and a known covariance matrix. This information is incorporated into estimation procedures for both normal and nonnormal responses. To evaluate the performance of these procedures experimentally, we examine the bias, variance, and mean square error of the controlled point estimators as well as the average half-length and coverage probability of the corresponding confidence-interval estimators for a set of SANs in which the following characteristics are systematically varied: (a) the size of the network (number of nodes and arcs); (b) the topology of the network; (c) the percentage of activities with exponentially distributed durations; and (d) the relative dominance of the critical path. The experimental results show that although large improvements in accuracy can be achieved with some of these procedures, the confidence-interval estimators for normal responses may suffer serious loss of coverage probability in some applications.

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Contributors

Author: Athanassios N. Avramidis

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