|
|
Variance reduction techniques: experimental comparison and analysis for single systems.
- Article from:
-
IIE Transactions
- Article date:
-
May 1, 2008
- Author:
- Sabuncuoglu, Ihsan; Fadiloglu, Mehmet Murat; Celik, Sabri
|
Copyright informationCOPYRIGHT 2008 Institute of Industrial Engineers, Inc. (IIE). This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
|
We provide a thorough analysis of the effectiveness of different Variance Reduction Techniques (VRTs). We consider both stand-alone and combined applications of two input techniques, Antithetic Variates (AV) and Latin Hypercube Sampling (LHS), and two output techniques, Control Variates (CV) and Poststratified Sampling (PS). Previous research in the area mainly focuses on asymptotic variance reduction. In this experimental study, we measure the performance of VRTs under finite simulation run lengths and analyze their effects. Our findings show that the asymptotic variance reduction results do not readily apply to finite-length simulations. We consider three different types of systems ...