Abstract
"Green Simulation: Reusing the Output of Repeated Experiments" by Feng and Staum describes methods based on likelihood ratio or importance sampling theory for reusing the outputs of simulation experiments at previous parameter settings to augment and improve (by reducing the estimator variance) simulation experiments at new parameter settings. The article presents empirical results for two realistic examples in the area of finance; Matlab code for these examples was made available by the authors. The examples were straightforward to run without extensive knowledge of Matlab, and both experiment and scenario parameters can be altered easily. All experiment results in the article were reproduced.
Original language | English (US) |
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Article number | 24 |
Journal | ACM Transactions on Modeling and Computer Simulation |
Volume | 27 |
Issue number | 4 |
DOIs | |
State | Published - Oct 2017 |
Funding
This work is supported by the National Science Foundation under Grant No. CMMI-1634982.
Keywords
- Financial engineering
- Importance sampling
- Variance reduction
ASJC Scopus subject areas
- Modeling and Simulation
- Computer Science Applications