Efficiency improvement techniques

DOI10.1007/BF02136829MaRDI QIDQ1805481zbMATH OpenOpenAlexFDO

Authors Peter W. Glynn

Publication date 18 May 1995

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02136829

zbMATH Keywords

control variatesimportance samplingvariance reductionstratificationconditioningcommon random numbersconditional Monte Carloefficiency of stochastic simulations

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Probabilistic methods, stochastic differential equations (65C99) Applications of statistics (62P99)

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Cites work

• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 3549966 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Almost sure approximations to the Robbins-Monro and Kiefer-Wolfowitz processes with dependent noise
• Antithetic variates revisited
• Comparing stochastic systems using regenerative simulation with common random numbers
• Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes
• Discrete-time conversion for simulating semi-Markov processes
• Efficient Estimators for Simulated Queueing Systems
• Fast simulation of rare events in queueing and reliability models
• Filtered Monte Carlo
• Importance Sampling for Stochastic Simulations
• Improving Monte Carlo Efficiency by Increasing Variance
• Indirect Estimation Via L = λW
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• Processes with associated increments
• Regenerative structure of Markov chains simulated via common random numbers
• Simulation methods of queues: An overview
• Some Guidelines and Guarantees for Common Random Numbers
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Stochastic monotonicity and conditional Monte Carlo for likelihood ratios
• The Asymptotic Efficiency of Simulation Estimators
• The Use of Antithetic Variates in Computer Simulations
• Variance Reduction Techniques for Digital Simulation

Cited in

(5)

• Using martingales to make stochastic simulations more precise
• scientific article; zbMATH DE number 4060973 (Why is no real title available?)
• Controlled multistage selection procedures for comparison with a standard
• scientific article; zbMATH DE number 3848918 (Why is no real title available?)
• A semi-supervised learning approach for variance reduction in life insurance

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