Programming to Reduce the Variance

Paul Bratley, Bennett L. Fox and Linus E. Schrage
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Paul Bratley: Université de Montréal, Département d’informatique et de recherche opérationnelle
Bennett L. Fox: University of Colorado, Department of Mathematics
Linus E. Schrage: University of Chicago, Graduate School of Business

Chapter Chapter 8 in A Guide to Simulation, 1987, pp 281-301 from Springer

Abstract: Abstract The chapter begins with a section showing different ways of programming an input distribution for a simulation. This illustrates parts of Chapter 4. We continue with practical examples of how to program some of the variance reduction techniques presented in Chapter 2. In particular, several techniques are applied in turn to the bank teller model of Example 1.4.1. A simple program implementing this model was given in Section 7.1.6. Now we improve this simple program to obtain better results at little or no extra cost in computer time. The examples are programmed in Fortran; however, recasting them in terms of another language (except perhaps GPSS) is not hard.

Keywords: Service Time; Sample Variance; Importance Sampling; Naive Approach; Input Distribution (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4419-8724-2_8

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DOI: 10.1007/978-1-4419-8724-2_8

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