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Lecture K2: Variance Reduction Techniques, Part 2 (2019-11-21) – Antithetic Variates and Importance Sampling
IEE 475: Simulating Stochastic Systems
English - November 21, 2019 20:17Courses Education simulation stochastic des dess discrete event system industrial engineering modeling Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed
This lecture covers Variance Reduction Techniques (VRT) for stochastic simulation, covering: Common Random Numbers (CRNs), Control Variates (CVs), Antithetic Variates (AVs), and Importance Sampling. The lecture mainly focuses on AVs and Importance sampling with an overview of CRN and CV topics covered in Part 1 of this lecture.