On the optimality and efficiency of common random numbers

DOI10.1016/0378-4754(84)90030-2zbMATH Open0547.65100OpenAlexW1976013120WikidataQ106206830 ScholiaQ106206830MaRDI QIDQ799094FDOQ799094

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

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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)

Cites Work

• Bivariate distributions with given marginals
• A Stochastic Approximation Method
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• Stochastic Estimation of the Maximum of a Regression Function
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• Proof of the antithetic-variates theorem for unbounded functions
• Variance Reduction by Antithetic Variates in GI/G/1 Queuing Simulations
• On Monte Carlo Methods in Congestion Problems: I. Searching for an Optimum in Discrete Situations

Cited In (5)

• Antithetic Variates, Common Random Numbers and Optimal Computer Time Allocation in Simulation
• Some Guidelines and Guarantees for Common Random Numbers
• Common random numbers in multivariate simulations
• Variance reduction by the use of common and antithetic random variables
• Optimal replacement policy for multicomponent systems: An application to a dairy herd

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