Efficiency improvement techniques

Efficiency improvement techniques

0.00 Avg rating0 Votes
Article ID: iaor19951140
Country: Switzerland
Volume: 53
Issue: 1
Start Page Number: 175
End Page Number: 197
Publication Date: Nov 1994
Journal: Annals of Operations Research
Authors:
Keywords: variance reduction
Abstract:

This paper provides an overview of the five most commonly used statistical techniques for improving the efficiency of stochastic simulations: control variates, common random numbers, importance sampling, conditional Monte Carlo, and stratification. The paper also describes a mathematical framework for discussion of efficiency issues that quantifies the trade-off between lower variance and higher computational time per observation.

Reviews

Required fields are marked *. Your email address will not be published.