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A perspective on variance reduction in dynamic simulation experiments

 

作者: Barry L. Nelson,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1987）
卷期: Volume 16, issue 2  

页码: 385-426

 

ISSN:0361-0918

 

年代: 1987

 

DOI:10.1080/03610918708812597

 

出版商: Marcel Dekker, Inc.

 

关键词: antithetic variates;common random numbers;conditional expectations;control variates;generalized semi-Markov process;importance sampling;indirect estimators;Latin hypercube sampling;Monte Carlo;poststratifying the sample;Russian roulette;sampling;simulatio

 

数据来源: Taylor

 

摘要:

A unifying perspective on variance reduction is presented that emphasizes broadly defined variance reduction strategies rather than specific variance reduction techniques (VRTs). The perspective is based on a new taxonomy of VRTs, which is reviewed in detail. The variance reduction problem is formulated as a constrained optimization problem, and results that guarantee the effectiveness of variance reduction strategies are summarized.

 

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