Variance Reduction Techniques for Digital Simulation

SYNOPTIC ABSTRACT

In the design and analysis of large-scale simulation experiments, It Is generally difficult to estimate model performance parameters with adequate precision at an acceptable sampling cost. This paper provides a state-of-the-art survey of the principal variance reduction techniques that can Improve the efficiency of such experiments.

Key Words and Phrases:

• antithetic variates
• common random numbers
• conditional Monte Carlo
• control variates
• Importance sampling
• Monte Carlo methods
• simulation
• stratified sampling
• systematic sampling
• variance reduction techniques