The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
Simulation and the Monte Carlo Method
Simulation and the Monte Carlo Method
Antithetic variates and quasirandom points as variance reduction techniques
WSC '83 Proceedings of the 15th conference on Winter Simulation - Volume 2
Counterparts of variance reduction techniques for Quasi-Monte Carlo integration
WSC '83 Proceedings of the 15th conference on Winter Simulation - Volume 2
Combinatorial Algorithms: Theory and Practice
Combinatorial Algorithms: Theory and Practice
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The use of quasi-random numbers has been shown to produce significant reductions in simulation run time, for a given target level of accuracy. Such reductions come from the uniformity of the sampling process generated by the quasi-random numbers. In this paper, a method is proposed under which quasi-random numbers can be used to achieve even greater reductions in run time. The method applies to a large class of simulation operations, specifically those in which some time-consuming but updatable operation is performed.