Efficiency improvement techniques

DOI10.1007/BF02136829zbMATH Open0821.62101OpenAlexW2086374769MaRDI QIDQ1805481FDOQ1805481

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

Recommendations

• Using martingales to make stochastic simulations more precise
• Applying variance reduction ideas in queuing simulations
• Variance Reduction Techniques for Digital Simulation
• scientific article; zbMATH DE number 3928175
• Improving Monte Carlo Efficiency by Increasing Variance

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Importance Sampling for Stochastic Simulations
• Fast simulation of rare events in queueing and reliability models
• Some Guidelines and Guarantees for Common Random Numbers
• Title not available (Why is that?)
• Almost sure approximations to the Robbins-Monro and Kiefer-Wolfowitz processes with dependent noise
• Efficient Estimators for Simulated Queueing Systems
• Indirect Estimation Via L = λW
• The Asymptotic Efficiency of Simulation Estimators
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• The Use of Antithetic Variates in Computer Simulations
• Simulation methods of queues: An overview
• Stochastic monotonicity and conditional Monte Carlo for likelihood ratios
• Regenerative structure of Markov chains simulated via common random numbers
• Variance Reduction Techniques for Digital Simulation
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Discrete-time conversion for simulating semi-Markov processes
• Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes
• Comparing stochastic systems using regenerative simulation with common random numbers
• Antithetic variates revisited
• Improving Monte Carlo Efficiency by Increasing Variance
• Processes with associated increments
• Filtered Monte Carlo

Cited In (5)

• Using martingales to make stochastic simulations more precise
• Title not available (Why is that?)
• Controlled multistage selection procedures for comparison with a standard
• Title not available (Why is that?)
• A semi-supervised learning approach for variance reduction in life insurance

This page was built for publication: Efficiency improvement techniques

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1805481)