Replicated computations results (RCR) report for "green simulation: Reusing the output of repeated experiments"

Barry L. Nelson*

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish (US)
Article number24
JournalACM Transactions on Modeling and Computer Simulation
Volume27
Issue number4
DOIs
StatePublished - Oct 2017

Keywords

  • Financial engineering
  • Importance sampling
  • Variance reduction

ASJC Scopus subject areas

  • Modeling and Simulation
  • Computer Science Applications

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