Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems

DOI10.1287/MNSC.31.1.66MaRDI QIDQ3745232zbMATH OpenOpenAlexFDO

Authors Gennady Samorodnitsky, Moshe Shaked, Reuven Y. Rubinstein

Publication date 1985

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.31.1.66

zbMATH Keywords

antithetic variatesmultivariate dependencenetworksqueueing systemsreliabilitysimulationstochastic systemsvariance reduction

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Reliability and life testing (62N05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(28)

• The multivariate hazard construction
• Stochastic stability analysis of particle swarm optimization with pseudo random number assignment strategy
• Variance reduction for sequential sampling in stochastic programming
• Comparison of conditional distributions in portfolios of dependent risks
• On multivariate dispersion orderings based on the standard construction
• Autoregressive to anything: Time-series input processes for simulation
• Common random numbers in multivariate simulations
• Variance reduction in stochastic homogenization using antithetic variables
• Application of antithetic and common random numbers for variance reduction
• Antithetic variates revisited
• Antithetic Sampling with Multivariate Inputs
• A farewell to the use of antithetic variates in Monte Carlo simulation
• Variance reduction by the use of common and antithetic random variables
• Variance Reduction Techniques for Digital Simulation
• A perspective on variance reduction in dynamic simulation experiments
• A Modified Version of Handscomb’s Antithetic Variates Theorem
• Antithetic Variates, Common Random Numbers and Optimal Computer Time Allocation in Simulation
• Combining antithetic variates and control variates in simulation experiments
• The total hazard construction, antithetic variates and simulation of stochastic systems
• Two Variability Orders
• A simulation method for finite non-stationary time series
• Antithetic and Negatively Associated Random Variables and Function Maximization
• ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES
• K-antithetic variates in Monte Carlo simulation
• A characterization of the multivariate excess wealth ordering
• Controlling antithetic variates
• Antithetic variates revisited again
• Extending simulation uses of antithetic variables: partially monotone functions, random permutations, and random subsets

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