Accession Number : AD0621997

Title :   A GRADIENT TECHNIQUE OF ADAPTIVE MONTE CARLO.

Descriptive Note : Professional paper,

Corporate Author : SYSTEM DEVELOPMENT CORP SANTA MONICA CALIF

Personal Author(s) : Pugh,E. L.

Report Date : 08 SEP 1965

Pagination or Media Count : 25

Abstract : A technique of Monte Carlo estimation is presented which is 'adaptive' in the sense that its efficiency increases as the sampling proceeds. It is based on sequentially estimating the gradient of the variance and following the path of steepest descent. The technique is applied to a problem of estimating the survival probability of a repairable machine. (Author)

Descriptors :   (*MONTE CARLO METHOD, STOCHASTIC PROCESSES), (*STOCHASTIC PROCESSES, SAMPLING), ANALYSIS OF VARIANCE, PROBABILITY, MACHINES, RELIABILITY

Distribution Statement : APPROVED FOR PUBLIC RELEASE