In this lecture, we review four different Variance Reduction Techniques (VRT's). Namely, we discuss common random numbers (CRNs), control variates, antithetic variates (AVs), and importance sampling. Each one of these is a different approach to reducing the variance in the estimation of relative or absolute performance of a simulation model. Variance reduction is an alternative way to increase the power of a simulation that is hopefully less costly than increasing the number of replications.
Archived lectures from undergraduate course on stochastic simulation given at Arizona State University by Ted Pavlic
Thursday, November 17, 2022
Lecture K2 (2022-11-17): Variance Reduction Techniques, Part II (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 introduce the three different simulation methodologies (agent-based modeling, system dynamics modeling, and discrete eve...
-
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...
-
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 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 (nearly) finish our coverage of Input Modeling, where the focus of this lecture is on parameter estimation and assessing...
-
In this lecture, we prepare for the final exam and give a brief review of all topics from the course.
-
In this lecture, we review four different Variance Reduction Techniques (VRT's). Namely, we discuss common random numbers (CRNs), contro...
No comments:
Post a Comment