통제변수를 이용한 PERT 네트워크에서 프로젝트 완료확률의 추정

Control Variates for Percentile Estimation of Project Completion Time in PERT Network

Often system analysts are interested in the estimation of percentile for system performance. For instance, in PERT network system, the percentile that the project is to be completed in targer-time is important information to evaluate the project. Typically the control variate method is used to reduce the variability of n response using the correlation between the response and the control variates with a little additional cost during the course of simulation. In the ne spirit, we apply this method to estimate the percentile of pr ect completion time in PERT system, and evaluate the efficiency of the controlled estimator for its percentile. Simulation results indicate that the controlled estimators are more effective in reducing the variances of estimators than the simple estimators, however those tend to a little underestimate the percentiles for some critical values. We need more simulation experiments to examine such a kind of bias problem. We expect this research presents a step forward in the area of variance reduction techniques stochastic simulation.