Variance reduction: Basic transformations

Authors:
Barry L. Nelson;Bruce W. Schmeiser
Affiliations:
School of Industrial Engineering, Purdue University, West Lafayette, IN;School of Industrial Engineering, Purdue University, West Lafayette, IN
Venue:
WSC '83 Proceedings of the 15th conference on Winter simulation - Volume 1
Year:
1983

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Abstract

A stochastic computer simulation model is a description of a system of interrelated random variables. Realizations of the system can be used to estimate parameters of interest. Variance reduction techniques (VRTs) transform simulation models into similar models that permit more precise estimation of the parameters. The basic types of transformations are defined and a simple example is given.