Antithetic variates, common random numbers and optimum computer time allocation in simulation
AbstractTwo simple variance reduction techniques are discussed, viz. antithetic variates and common random numbers. Their joint application creates undesirable negative correlations between the responses of two simulated systems. Therefore three alternatives are considered: antithetics only, common random numbers only, antithetic and common random numbers combined. No alternative is always best as is shown by analytical results for extremely simple systems and simulation results for simple queuing systems. Therefore a procedure is derived that starts with some pilot runs for both systems and estimates which alternative minimizes the variance; at the same time this procedure allocates the limited amount of computer time to the two systems in an optimal way. Results of the application of the procedure to several queuing systems are presented. Because of certain disadvantages of the procedure we may decide to select alternative 1 (antithetics only) a priori. Then the procedure can still be used for the optimal computer time allocation.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-369887.
Date of creation: 1975
Date of revision:
Publication status: Published in Management science (1975) v.21, p.1176-1185
Contact details of provider:
Web page: http://www.tilburguniversity.edu/
Other versions of this item:
- Jack P. C. Kleijnen, 1975. "Antithetic Variates, Common Random Numbers and Optimal Computer Time Allocation in Simulation," Management Science, INFORMS, vol. 21(10), pages 1176-1185, June.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Society for Computational Economics, vol. 31(1), pages 21-43, February.
- Safizadeh, M. Hossein, 2002. "Minimizing the bias and variance of the gradient estimate in RSM simulation studies," European Journal of Operational Research, Elsevier, vol. 136(1), pages 121-135, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Economists Online Support).
If references are entirely missing, you can add them using this form.