Variance Reduction Techniques in Monte Carlo Methods

Author:

Kleijnen Jack P. C.,Ridder Ad A. N.,Rubinstein Reuven Y.

Publisher

Springer US

Reference30 articles.

1. Asmussen, S., & Glynn, P. W. (2007). Stochastic simulation. New York: Springer-Verlag.

2. Botev, Z. I., & Kroese, D. P. (2008). An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Methodology and Computing in Applied Probability, 10, 471–505.

3. Chen, X., Ankenman, B., & Nelson, B. L. (2010). The effects of common random numbers on stochastic kriging metamodels (Working Paper). Evanston, IL: Department of Industrial Engineering and Management Sciences, Northwestern University.

4. Chick, S. E., & Gans, N. (2009). Economic analysis of simulation selection problems. Management Science, 55, 421–437.

5. Chih, M. (2013). A more accurate second-order polynomial metamodel using a pseudo-random number assignment strategy. Journal of the Operational Research Society, 64, 198–207.

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