2008•Unpublished venueOpen access

Comparing variance reduction techniques for Monte Carlo Simulation of trading and security in a three-area power system

Magnus Perninge, Mikael Amelin, Valerijs Knazkins

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Abstract

A variance reduction technique is a method used to reduce the variance of a Monte Carlo Simulation. In this paper four of the most commonly used variance reduction techniques are tested to estimate the trade of between trading and security in a three-area electric power system. The comparison is made by regarding both the variance reduction and the bias induced by the method.

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What this paper is about

A variance reduction technique is a method used to reduce the variance of a Monte Carlo Simulation. In this paper four of the most commonly used variance reduction techniques are tested to estimate the trade of between trading and security in a three-area electric power system. The comparison is made by regarding both the variance reduction and the bias induced by the method.

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Available abstract

A variance reduction technique is a method used to reduce the variance of a Monte Carlo Simulation. In this paper four of the most commonly used variance reduction techniques are tested to estimate the trade of between trading and security in a three-area electric power system. The comparison is made by regarding both the variance reduction and the bias induced by the method.

Key concepts: Variance reduction, Variance (accounting), Monte Carlo method, Reduction (mathematics), Control variates, Computer science, Econometrics, Statistics

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