On the optimality and efficiency of common random numbers

Some theoretical and practical aspects of common random numbers (CRN) for variance reduction in simulation analysis are considered. A simple proof of the optimality of CRN is presented and the efficiency of this technique for variance reduction is discussed. Applications of CRN to production planning and inventory problems while using stochastic approximation are given.

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Year of publication:	1984
Authors:	Gal, S. ; Rubinstein, R.Y. ; Ziv, A.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 26.1984, 6, p. 502-512
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010748606