VARIANCE REDUCTION FOR SIMULATION PRACTITIONERS.

Barry L. Nelson*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

13 Scopus citations

Abstract

A comprehensive guide to applying three well-known variance reduction techniques (VRTs) is given, including point and interval estimators, software requirements, and guidelines for experiment design. The three techniques are antithetic variates, control variates, and random number variates. The application to finite-horizon simulation experiments is presented, and modifications for infinite-horizon experiments are discussed.

Original languageEnglish (US)
Title of host publicationWinter Simulation Conference Proceedings
EditorsArne Thesen, Hank Grant, David W. Kelton, Madison Univ of Wisconsin-Madison
PublisherACM
Pages43-51
Number of pages9
ISBN (Print)0911801324
StatePublished - Dec 1 1987

ASJC Scopus subject areas

  • Chemical Health and Safety
  • Software
  • Safety, Risk, Reliability and Quality
  • Applied Mathematics
  • Modeling and Simulation

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