DiscoverIEE 475: Simulating Stochastic SystemsLecture K2 (2024-11-21): Variance Reduction Techniques, Part 2 (AVs and Importance Sampling)
Lecture K2 (2024-11-21): Variance Reduction Techniques, Part 2 (AVs and Importance Sampling)

Lecture K2 (2024-11-21): Variance Reduction Techniques, Part 2 (AVs and Importance Sampling)

Update: 2024-11-22
Share

Description

In this lecture, we review four different Variance Reduction Techniques (VRT's). Namely, we discuss common random numbers (CRNs), control variates, antithetic variates (AVs), and importance sampling. Each one of these is a different approach to reducing the variance in the estimation of relative or absolute performance of a simulation model. Variance reduction is an alternative way to increase the power of a simulation that is hopefully less costly than increasing the number of replications.

<iframe allowfullscreen="" class="BLOG_video_class" height="266" src="https://www.youtube.com/embed/Cs3xIswoQ28" width="320" youtube-src-id="Cs3xIswoQ28"></iframe>


Comments 
In Channel
loading
00:00
00:00
1.0x

0.5x

0.8x

1.0x

1.25x

1.5x

2.0x

3.0x

Sleep Timer

Off

End of Episode

5 Minutes

10 Minutes

15 Minutes

30 Minutes

45 Minutes

60 Minutes

120 Minutes

Lecture K2 (2024-11-21): Variance Reduction Techniques, Part 2 (AVs and Importance Sampling)

Lecture K2 (2024-11-21): Variance Reduction Techniques, Part 2 (AVs and Importance Sampling)

Theodore P. Pavlic