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Lecture K2 (2020-11-19): Variance Reduction Techniques, Part 2 - AVs and Importance Sampling
IEE 475: Simulating Stochastic Systems
English - November 20, 2020 00:05Courses 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 K1 (2020-11-17): Variance Reduction Techniques, Part 1 - CRN's and Control Variates
Next Episode: Lecture L (2020-11-24): Course Wrap-Up
In this lecture, we review different forms of Variance Reduction Techniques (VRT's) for stochastic simulation, which attempt to re-design simulation experiments to control for sources of variance and thus increase statistical power when making an estimate with a small number of replications. We start with common random numbers (CRN's) and Control Variates. We then pivot to discussing Antithetic Variates. The goal was to also cover Importance Sampling, but due to time constraints that topic will be saved for the next lecture period.