Using common random numbers in simulation experiments — an approach to statistical analysis

Abstract

A widely applied method of experimental design in stochastic simulation is to use the same pseudo random-number stream for each of the systems or alternatives to be compared. If there are only two alternatives, there is a well-known simple method of statistical analysis. This paper presents Graybill's3 extension of that analysis technique to the case of several systems or alternatives and points out its applicability in the simulation environment. The technique is illustrated using a stochastic simula tion model of a small inventory system. An empirical comparison with other methods of design and analysis is included.