On the optimality and efficiency of common random numbers

DOI10.1016/0378-4754(84)90030-2zbMath0547.65100OpenAlexW1976013120WikidataQ106206830 ScholiaQ106206830MaRDI QIDQ799094

N. E. Zubov

Publication date: 1984

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(84)90030-2

zbMATH Keywords

stochastic approximationvariance reductionsimulation analysiscommon random numbers

Mathematics Subject Classification ID

Stochastic approximation (62L20) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Bivariate distributions with given marginals
• Proof of the antithetic-variates theorem for unbounded functions
• Variance Reduction by Antithetic Variates in GI/G/1 Queuing Simulations
• On Monte Carlo Methods in Congestion Problems: I. Searching for an Optimum in Discrete Situations
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method
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