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Programming to Reduce the Variance

In: A Guide to Simulation

Author

Listed:
  • Paul Bratley

    (Université de Montréal, Département d’informatique et de recherche opérationnelle)

  • Bennett L. Fox

    (University of Colorado, Department of Mathematics)

  • Linus E. Schrage

    (University of Chicago, Graduate School of Business)

Abstract

The chapter begins with a section showing different ways of programming an input distribution for a simulation. This illustrates parts of Chapter 4. We continue with practical examples of how to program some of the variance reduction techniques presented in Chapter 2. In particular, several techniques are applied in turn to the bank teller model of Example 1.4.1. A simple program implementing this model was given in Section 7.1.6. Now we improve this simple program to obtain better results at little or no extra cost in computer time. The examples are programmed in Fortran; however, recasting them in terms of another language (except perhaps GPSS) is not hard.

Suggested Citation

  • Paul Bratley & Bennett L. Fox & Linus E. Schrage, 1987. "Programming to Reduce the Variance," Springer Books, in: A Guide to Simulation, edition 0, chapter 0, pages 281-301, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4419-8724-2_8
    DOI: 10.1007/978-1-4419-8724-2_8
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