A perspective on variance reduction in dynamic simulation experiments

Barry L. Nelson*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

35 Scopus citations

Abstract

A unifying perspective on variance reduction is presented that emphasizes broadly defined variance reduction strategies rather than specific variance reduction techniques (VRTs). The perspective is based on a new taxonomy of VRTs, which is reviewed in detail. The variance reduction problem is formulated as a constrained optimization problem, and results that guarantee the effectiveness of variance reduction strategies are summarized.

Original languageEnglish (US)
Pages (from-to)385-426
Number of pages42
JournalCommunications in Statistics - Simulation and Computation
Volume16
Issue number2
DOIs
StatePublished - Jan 1 1987

Keywords

  • Latin hypercube sampling
  • Monte Carlo
  • Russian roulette
  • antithetic variates
  • common random numbers
  • conditional expectations
  • control variates
  • generalized semi-Markov process
  • importance sampling
  • indirect estimators
  • poststratifying the sample
  • sampling
  • simulation
  • splitting
  • stratified sampling
  • swindle
  • systematic sampling
  • variance reduction

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation

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