A perspective on variance reduction in dynamic simulation experiments
DOI10.1080/03610918708812597zbMath0627.65149OpenAlexW2013826711MaRDI QIDQ3763557
Publication date: 1987
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918708812597
importance samplingsplittingLatin hypercube samplingconditional expectationsstratified samplingauxiliary informationsystematic samplingtaxonomycontrol variatesantithetic variatescommon random numberssample allocationconstraint optimization problemgeneralized semi- Markov processRussian rouletteindirect estimatorsequivalent informationswindledependence inductiondistribution replacementdynamic simulation experimentsequivalent allocationpoststratifyingvariance reduction strategies
Optimal statistical designs (62K05) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)
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