On the optimality and efficiency of common random numbers

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

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)502-512
Number of pages11
JournalMathematics and Computers in Simulation
Issue number6
StatePublished - Dec 1984
Externally publishedYes

ASJC Scopus subject areas

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


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