IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v40y1994i8p1021-1034.html
   My bibliography  Save this article

Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments

Author

Listed:
  • Chimyung Kwon

    (Department of Applied Statistics, Dong-A University, Pusan, Korea 640-714)

  • Jeffrey D. Tew

    (Consolidated Freightways, Inc., Portland, Oregon 97209)

Abstract

In this paper we examine three methods for combining the variance reduction techniques of antithetic variates and control variates to estimate the mean response in a designed simulation experiment. In Combined Method I, we perform h independent pairs of simulation runs as follows---on the second run of each such pair, we use random number streams that are antithetic (complementary) to the streams used on the first run of the pair to drive the non-control-variate components of the simulation model; and we use independent random number streams to drive the control-variate components of the simulation model. In Combined Method II, we also perform h independent pairs of runs; but on each pair of runs we use independent random number streams to drive the non-control-variate model components, and we use antithetic random number streams to drive the control-variate components. In Combined Method III, all of the random number streams driving the second run of each pair of runs are antithetic to the streams driving the first run of the pair. For each of these three methods we drive the variance of the resulting estimator of the mean response to make a theoretical comparison of the efficiency of each method. We implemented these three methods, along with the classical method of control variates, in a simulation model of a resource-constrained activity network to show how each combined method is implemented in practice and to evaluate the performance of each combined method experimentally. The results indicate that: (a) Combined Method III outperformed all other methods, and (b) the effectiveness of Combined Method III as well as the choice of whether to use Combined Method I or Combined Method II depends on the degree of correlation between the control variates and the response.

Suggested Citation

  • Chimyung Kwon & Jeffrey D. Tew, 1994. "Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments," Management Science, INFORMS, vol. 40(8), pages 1021-1034, August.
  • Handle: RePEc:inm:ormnsc:v:40:y:1994:i:8:p:1021-1034
    DOI: 10.1287/mnsc.40.8.1021
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.40.8.1021
    Download Restriction: no

    File URL: https://libkey.io/10.1287/mnsc.40.8.1021?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Joshi, Shirish & Tew, Jeffrey D., 1995. "Validation and statistical analysis procedures under the common random number correlation-induction strategy for multipopulation simulation experiments," European Journal of Operational Research, Elsevier, vol. 85(1), pages 205-220, August.
    2. Shing Chih Tsai & Chen Hao Kuo, 2012. "Screening and selection procedures with control variates and correlation induction techniques," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(5), pages 340-361, August.
    3. Dawson, C. W., 1995. "A dynamic sampling technique for the simulation of probabilistic and generalized activity networks," Omega, Elsevier, vol. 23(5), pages 557-566, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:40:y:1994:i:8:p:1021-1034. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.