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Lecture K1: Variance Reduction Techniques, Part 1 (2019-11-19) – CRN and Control Variates
IEE 475: Simulating Stochastic Systems
English - November 20, 2019 00:27Courses Education simulation stochastic des dess discrete event system industrial engineering modeling Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed
Previous Episode: Lecture J4: Estimation of Relative Performance (2019-11-14)
This lecture introduces the use of Variance Reduction Techniques (VRT), which combine tools from statistical experiment design with the idiosyncrasies of stochastic simulation studies to reduce the number of replications needed to make inferences by controlling sources of variance. This lecture primarily focuses on Common Random Numbers (CRN) and Control Variates.