Counterparts of variance reduction techniques for Quasi-Monte Carlo integration

Authors:
Bennett L. Fox
Affiliations:
départment d'informatique et de recherche opérationnelle, Université de Montréeal, C.P. 6128, Succarsale 'A', Montreal, P.Q., H3C 3J7 CANADA
Venue:
WSC '83 Proceedings of the 15th conference on Winter Simulation - Volume 2
Year:
1983

Citing 0
Cited 1

Use of lattice structures for reduction of simulation run time

WSC '84 Proceedings of the 16th conference on Winter simulation

Quantified Score

Hi-index	0.00

Visualization

Abstract

Quasi-Monte Carlo integration, when applicable, has an order of magnitude smaller error bound than standard Monte Carlo. For the former we consider analogs of variance reduction techniques for the latter and discuss their effectiveness. The results are applicable to stochastic programming and stochastic networks, for example. A May 1983 technical report by the same title is available from the author.