skip to main content
10.5555/1218112.1218157acmconferencesArticle/Chapter ViewAbstractPublication PageswscConference Proceedingsconference-collections
Article

Optimal resource allocation in two stage sampling of input distributions

Published: 03 December 2006 Publication History

Abstract

Consider a performance measure that is evaluated via Monte Carlo simulation where input distributions to the underlying model may involve two stage sampling. The settings of interest include the case where in the first stage physical samples from the distribution are collected. In the second stage, Monte Carlo sampling is done from the observed empirical distribution. We also consider the sampling-importance resampling (SIR) algorithm. Here it is difficult to sample directly from the desired input distribution, and these samples are generated in two stages. In the first stage, a large number of samples are generated from a distribution convenient from the sampling viewpoint. In the second stage, a resampling is done from the samples generated in the first stage so that asymptotically the new samples have the desired distribution. We discuss how to allocate computational and other effort optimally the two stages to minimize the estimator's resultant mean square error.

References

[1]
Geweke, J. 1989. Bayesian inference in econometirc models using Monte Carlo integration. Econometrica 57:1317--1339.
[2]
Hesterberg, T. 1995. Weighted average importance sampling and defensive mixture distributions. Technometrics 37:185--194.
[3]
Rubin, D. B. 1988. Using the SIR algorithm to simulate posterior distributions. In Bayseyian Statitics 3, ed. J. Bernando, M. Degroot, D. Lindley, and A. Smith. Oxford University Press, Inc.
[4]
Smith, A. F., and Gelfand A. E. 1992. Bayesian statistics without tears: a sampling-resampling perspective. American Statistician 46:84--88.
[5]
van der Vaart, A. W. 1997. Asymptotic statistics. Cambridge University Press.

Recommendations

Comments

Information & Contributors

Information

Published In

cover image ACM Conferences
WSC '06: Proceedings of the 38th conference on Winter simulation
December 2006
2429 pages
ISBN:1424405017

Sponsors

  • IIE: Institute of Industrial Engineers
  • ASA: American Statistical Association
  • IEICE ESS: Institute of Electronics, Information and Communication Engineers, Engineering Sciences Society
  • IEEE-CS\DATC: The IEEE Computer Society
  • SIGSIM: ACM Special Interest Group on Simulation and Modeling
  • NIST: National Institute of Standards and Technology
  • (SCS): The Society for Modeling and Simulation International
  • INFORMS-CS: Institute for Operations Research and the Management Sciences-College on Simulation

Publisher

Winter Simulation Conference

Publication History

Published: 03 December 2006

Check for updates

Qualifiers

  • Article

Conference

WSC06
Sponsor:
  • IIE
  • ASA
  • IEICE ESS
  • IEEE-CS\DATC
  • SIGSIM
  • NIST
  • (SCS)
  • INFORMS-CS
WSC06: Winter Simulation Conference 2006
December 3 - 6, 2006
California, Monterey

Acceptance Rates

WSC '06 Paper Acceptance Rate 177 of 252 submissions, 70%;
Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

Contributors

Other Metrics

Bibliometrics & Citations

Bibliometrics

Article Metrics

  • 0
    Total Citations
  • 78
    Total Downloads
  • Downloads (Last 12 months)0
  • Downloads (Last 6 weeks)0
Reflects downloads up to 16 Feb 2025

Other Metrics

Citations

View Options

Login options

View options

PDF

View or Download as a PDF file.

PDF

eReader

View online with eReader.

eReader

Figures

Tables

Media

Share

Share

Share this Publication link

Share on social media