Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems

DOI10.1287/MNSC.31.1.66zbMATH Open0606.65099OpenAlexW2114659506MaRDI QIDQ3745232FDOQ3745232

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

simulationnetworksreliabilityvariance reductionqueueing systemsstochastic systemsantithetic variatesmultivariate dependence

Mathematics Subject Classification ID

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

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Cited In (25)

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

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