On the optimality and efficiency of common random numbers

S. Gal; R. Y. Rubinstein; A. Ziv

doi:10.1016/0378-4754(84)90030-2

On the optimality and efficiency of common random numbers

S. Gal, R. Y. Rubinstein, A. Ziv

Research output: Contribution to journal › Article › peer-review

Abstract

Some theoretical and practical aspects of common random numbers (CRN) for variance reduction in simulation analysis are considered. A simple proof of the optimality of CRN is presented and the efficiency of this technique for variance reduction is discussed. Applications of CRN to production planning and inventory problems while using stochastic approximation are given.

Original language	English
Pages (from-to)	502-512
Number of pages	11
Journal	Mathematics and Computers in Simulation
Volume	26
Issue number	6
DOIs	https://doi.org/10.1016/0378-4754(84)90030-2
State	Published - Dec 1984
Externally published	Yes

ASJC Scopus subject areas

Theoretical Computer Science
General Computer Science
Numerical Analysis
Modeling and Simulation
Applied Mathematics

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10.1016/0378-4754(84)90030-2

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title = "On the optimality and efficiency of common random numbers",

abstract = "Some theoretical and practical aspects of common random numbers (CRN) for variance reduction in simulation analysis are considered. A simple proof of the optimality of CRN is presented and the efficiency of this technique for variance reduction is discussed. Applications of CRN to production planning and inventory problems while using stochastic approximation are given.",

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AB - Some theoretical and practical aspects of common random numbers (CRN) for variance reduction in simulation analysis are considered. A simple proof of the optimality of CRN is presented and the efficiency of this technique for variance reduction is discussed. Applications of CRN to production planning and inventory problems while using stochastic approximation are given.

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On the optimality and efficiency of common random numbers

Abstract

ASJC Scopus subject areas

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