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Journal of Statistical Computation and Simulation Volume 23, 1986 - Issue 3
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Original Articles

Decomposition of some weil-known variance reduction techniques Footnote†

Barry L. Nelson Department of Industrial and Systems Engineering, The Ohio State University, Columbus, OH, 43210, U.S.A
&
Bruce W. Schmeiser School of Industrial Engineering, Purdue University, West Lafayette, IN, 47907, U.S.A
Pages 183-209 | Received 16 Dec 1984, Published online: 20 Mar 2007

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Read on this site (4)

Robert F. Bordley. (2014) Reference Class Forecasting: Resolving Its Challenge to Statistical Modeling. The American Statistician 68:4, pages 221-229.
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James J. Swain & Bruce W. Schmeiser. (1989) Control Variates for Monte Carlo Analysis of Nonlinear Statistical Models, I: Overview. Communications in Statistics - Simulation and Computation 18:3, pages 1011-1036.
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James J. Swain & Bruce W. Schmeiser. (1988) Control variates for monte carlo analysis of nonlinear statistical models, II: raw moments and variances. Journal of Statistical Computation and Simulation 30:1, pages 39-56.
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Barry L. Nelson. (1987) A perspective on variance reduction in dynamic simulation experiments. Communications in Statistics - Simulation and Computation 16:2, pages 385-426.
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Articles from other publishers (18)

Nadiya Rowshan, Subham Gupta, Achyut Paudel, Mishal Thapa, Sameer B. Mulani & Robert W. Walters. (2023) Exact Method of Antithetic Sampling for Higher Dimensionality. Exact Method of Antithetic Sampling for Higher Dimensionality.
Martyn P. Clark, Richard M. Vogel, Jonathan R. Lamontagne, Naoki Mizukami, Wouter J. M. Knoben, Guoqiang Tang, Shervan Gharari, Jim E. Freer, Paul H. Whitfield, Kevin R. Shook & Simon Michael Papalexiou. (2021) The Abuse of Popular Performance Metrics in Hydrologic Modeling. Water Resources Research 57:9.
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Adrian Adewunmi & Uwe Aickelin. 2012. Use Cases of Discrete Event Simulation. Use Cases of Discrete Event Simulation 1 26 .
Ergün Eraslan & Berna Dengiz. (2009) The Efficiency of Variance Reduction in Manufacturing and Service Systems: The Comparison of the Control Variates and Stratified Sampling. Mathematical Problems in Engineering 2009, pages 1-12.
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Senay Agca. (2009) The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies under a Heath-Jarrow-Morton Framework. Journal of Financial and Quantitative Analysis 40:3, pages 645-669.
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H. Xu & S. Rahman. (2004) A generalized dimension‐reduction method for multidimensional integration in stochastic mechanics. International Journal for Numerical Methods in Engineering 61:12, pages 1992-2019.
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S. Rahman & H. Xu. (2004) A univariate dimension-reduction method for multi-dimensional integration in stochastic mechanics. Probabilistic Engineering Mechanics 19:4, pages 393-408.
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Peter J. Smith. (2016) Underestimation of Rare Event Probabilities in Importance Sampling Simulations. SIMULATION 76:3, pages 140-150.
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Bruce Schmeiser. (1999) Advanced input modeling for simulation experimentation. Advanced input modeling for simulation experimentation.
P.J. Smith, M. Shafi & Hongsheng Gao. (1997) Quick simulation: a review of importance sampling techniques in communications systems. IEEE Journal on Selected Areas in Communications 15:4, pages 597-613.
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Peter W. Glynn. (1994) Efficiency improvement techniques. Annals of Operations Research 53:1, pages 175-197.
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Bruce W. Schmeiser & Michael R. Taaffe. (1994) Time-dependent queueing network approximations as simulation external control variates. Operations Research Letters 16:1, pages 1-9.
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P. L'Ecuyer. (1994) Efficiency improvement and variance reduction. Efficiency improvement and variance reduction.
Krzysztof Pawlikowski. (1990) Steady-state simulation of queueing processes: survey of problems and solutions. ACM Computing Surveys 22:2, pages 123-170.
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Barry L. Nelson. (1989) Batch size effects on the efficiency of control variates in simulation. European Journal of Operational Research 43:2, pages 184-196.
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Rowena Añonuevo & Barry L. Nelson. (1988) Automated estimation and variance reduction via control variates for infinite-horizon simulations. Computers & Operations Research 15:5, pages 447-456.
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Barry L. Nelson. (1987) On control variate estimators. Computers & Operations Research 14:3, pages 219-225.
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Adrian Adewunmi & Uwe Aickelin. (2012) Investigating the Effectiveness of Variance Reduction Techniques in Manufacturing, Call Center and Cross-Docking Discrete Event Simulation Models. SSRN Electronic Journal.
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