On the optimality and efficiency of common random numbers

DOI10.1016/0378-4754(84)90030-2MaRDI QIDQ799094zbMATH OpenOpenAlexWikidataFDO

Authors N. E. Zubov

Publication date 1984

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(84)90030-2

zbMATH Keywords

variance reductionstochastic approximationcommon random numberssimulation analysis

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99) Stochastic approximation (62L20)

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Cites work

• scientific article; zbMATH DE number 3119649 (Why is no real title available?)
• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 3459735 (Why is no real title available?)
• scientific article; zbMATH DE number 3562783 (Why is no real title available?)
• scientific article; zbMATH DE number 3038497 (Why is no real title available?)
• A Stochastic Approximation Method
• Bivariate distributions with given marginals
• On Monte Carlo Methods in Congestion Problems: I. Searching for an Optimum in Discrete Situations
• Proof of the antithetic-variates theorem for unbounded functions
• Stochastic Estimation of the Maximum of a Regression Function
• Variance Reduction by Antithetic Variates in GI/G/1 Queuing Simulations

Cited in

(9)

• Antithetic Variates, Common Random Numbers and Optimal Computer Time Allocation in Simulation
• Sharpening comparisons via Gaussian copulas and semidefinite programming
• Some Guidelines and Guarantees for Common Random Numbers
• Stochastic ceteris paribus simulations
• Common random numbers in multivariate simulations
• Application of antithetic and common random numbers for variance reduction
• Variance reduction by the use of common and antithetic random variables
• Debiasing piecewise deterministic Markov process samplers using couplings
• Optimal replacement policy for multicomponent systems: An application to a dairy herd

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