A perspective on variance reduction in dynamic simulation experiments

DOI10.1080/03610918708812597zbMath0627.65149OpenAlexW2013826711MaRDI QIDQ3763557

Barry L. Nelson

Publication date: 1987

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918708812597

zbMATH Keywords

importance samplingsplittingLatin hypercube samplingconditional expectationsstratified samplingauxiliary informationsystematic samplingtaxonomycontrol variatesantithetic variatescommon random numberssample allocationconstraint optimization problemgeneralized semi- Markov processRussian rouletteindirect estimatorsequivalent informationswindledependence inductiondistribution replacementdynamic simulation experimentsequivalent allocationpoststratifyingvariance reduction strategies

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

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