VARIANCE REDUCTION TECHNIQUES IN COMPUTER SIMULATION.

Barry L. Nelson*

*Corresponding author for this work

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

Abstract

For analyzing stochastic models, simulation trades the tractability problems of analytical techniques for the problem of sampling variability. Variance reduction techniques (VRTs) attack this problem by transforming the simulation experiment in a way that makes it more statistically efficient. Unfortunately, VRTs are infrequently used, even though significant reductions are possible in practical problems. This tutorial introduces some basic concepts of variance reduction, and uses a new taxonomy of VRTs as the basis for an algorithm to select appropriate VRTs for general simulation experiments.

Original languageEnglish (US)
Title of host publicationProceedings, American Institute of Industrial Engineers, Annual Conference and Convention
PublisherInst of Industrial Engineers
Pages295-303
Number of pages9
StatePublished - Dec 1 1986

ASJC Scopus subject areas

  • Engineering(all)

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