Variance Reduction Techniques for Digital Simulation

DOI10.1080/01966324.1984.10737147zbMath0581.65005OpenAlexW2026949629WikidataQ58117074 ScholiaQ58117074MaRDI QIDQ3703173

James R. Wilson

Publication date: 1984

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.1984.10737147

zbMATH Keywords

simulationvariance reductionstratified samplingsystematic samplingcontrol variatesantithetic variatescorrelation methodsimportance methods

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Random number generation in numerical analysis (65C10) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (17)

Compressed Monte Carlo with application in particle filtering ⋮ The score function approach for sensitivity analysis of computer simulation models ⋮ Time-dependent queueing network approximations as simulation external control variates ⋮ On control variate estimators ⋮ Some properties of simulation interval estimators under dependence induction ⋮ Control Variates for Monte Carlo Analysis of Nonlinear Statistical Models, I: Overview ⋮ Variance reduction in stochastic reaction networks using control variates ⋮ Targeted smoothing parameter selection for estimating average causal effects ⋮ Control variates for monte carlo analysis of nonlinear statistical models, II: raw moments and variances ⋮ A modified Hooke and Jeeves algorithm with likelihood ratio performance extrapolation for simulation optimization ⋮ Efficiency improvement techniques ⋮ Noninverse correlation induction: Guidelines for algorithm development ⋮ Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models ⋮ Batch size effects on the efficiency of control variates in simulation ⋮ Improved estimators for the GMANOVA problem with application to Monte Carlo simulation ⋮ Variance reduction for simulated diffusions using control variates extracted from state space evaluations ⋮ Selecting control variates to estimate multiresponse simulation metamodels

Uses Software

• AS 181

Cites Work

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