In this lecture, we review different forms of Variance Reduction Techniques (VRT's) for stochastic simulation, which attempt to re-design simulation experiments to control for sources of variance and thus increase statistical power when making an estimate with a small number of replications. We start with common random numbers (CRN's) and Control Variates. We then pivot to discussing Antithetic Variates. The goal was to also cover Importance Sampling, but due to time constraints that topic will be saved for the next lecture period.
Archived lectures from undergraduate course on stochastic simulation given at Arizona State University by Ted Pavlic
Thursday, November 19, 2020
Lecture K2 (2020-11-19): Variance Reduction Techniques, Part 2 - AVs and Importance Sampling
Subscribe to:
Post Comments (Atom)
Popular Posts
-
In this lecture, we go over course policies for the Fall 2022 session of IEE 475.
-
In this lecture, we wrap up the course content in IEE 475. We first do a quick overview of the four variance reduction techniques (VRT's...
-
In this lecture, we introduce the three different simulation methodologies (agent-based modeling, system dynamics modeling, and discrete eve...
-
This lecture section is a cumulative review of material from the semester and is meant to serve as a study guide for students preparing for ...
-
Today's lecture covers the basics of probability (including introduction to measure spaces) and random variables. We also go over some r...
-
In this lecture, we (nearly) finish our coverage of Input Modeling, where the focus of this lecture is on parameter estimation and assessing...
-
In this lecture, we continue to discuss hypothesis testing -- introducing parametric, non-parametric, exact, and non-exact tests and reviewi...
-
This lecture continues to discuss issues related to estimating absolute performance from transient and steady-state simulations (of terminat...
-
In this lecture, we review fundamentals of Discrete Event System (DES) simulation (e.g., entities, resources, activities, processes, delays,...
-
In this lecture, we introduce Industrial and Systems Engineering as a blend of science and engineering that necessitates model building. We ...
No comments:
Post a Comment