On the optimality and efficiency of common random numbers

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

Mathematics and Computers in Simulation (MATCOM), 1984, vol. 26, issue 6, 502-512

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.

Date: 1984
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:26:y:1984:i:6:p:502-512

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

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