Efficiency improvement and variance reduction
Pierre L’Ecuyer
Abstract
Pierre L’Ecuyer
Abstract
Gives an overview of the main techniques for improving the statistical efficiency of simulation estimators. Efficiency improvement is typically (but not always) achieved through variance reduction. We discuss methods such as common random numbers, antithetic variates, control variates, importance sampling, conditional Monte Carlo, stratified sampling, and some others, as well as the combination of certain of those methods. We also survey the recent literature on this topic.
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Gives an overview of the main techniques for improving the statistical efficiency of simulation estimators. Efficiency improvement is typically (but not always) achieved through variance reduction. We discuss methods such as common random numbers, antithetic variates, control variates, importance sampling, conditional Monte Carlo, stratified sampling, and some others, as well as the combination of certain of those methods. We also survey the recent literature on this topic.
Key concepts: Control variates, Variance reduction, Stratified sampling, Monte Carlo method, Variance (accounting), Estimator, Statistics, Computer science