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Efficiency improvement techniques

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Abstract

This paper provides an overview of the five most commonly used statistical techniques for improving the efficiency of stochastic simulations: control variates, common random numbers, importance sampling, conditional Monte Carlo, and stratification. The paper also describes a mathematical framework for discussion of efficiency issues that quantifies the trade-off between lower variance and higher computational time per observation.

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Authors and Affiliations

  1. Department of Operations Research, Stanford University, 94305-4022, Stanford, CA, USA

    Peter W. Glynn

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  1. Peter W. Glynn
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Glynn, P.W. Efficiency improvement techniques. Ann Oper Res 53, 175–197 (1994). https://doi.org/10.1007/BF02136829

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