Search Results - subject:"Random numbers"

Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers

Kleinman, Nathan L.; Spall, James C.; Naiman, Daniel Q. - In: Management Science 45 (1999) 11, pp. 1570-1578

The method of Common Random Numbers is a technique used to reduce the variance of difference estimates in simulation … determining optimal values for parameters of a simulated system. Asymptotic results exist which show that using the Common Random … Numbers method in the iterative Finite Difference Stochastic Approximation optimization algorithm (FDSA) can increase the …

Persistent link: https://www.econbiz.de/10009191640

Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation

Nelson, Barry L.; Matejcik, Frank J. - In: Management Science 41 (1995) 12, pp. 1935-1945

such procedures that exploit the variance-reduction technique of common random numbers to reduce the sample size required …

Persistent link: https://www.econbiz.de/10009209251

Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models

Calzolari, Giorgio; Ciriani, Tito A.; Corsi, Paolo - Volkswirtschaftliche Fakultät, … - 1976

Purpose of this paper is the description of the tecniques used to generate pseudo-random numbers, to be added as …

Persistent link: https://www.econbiz.de/10008548822

Some Guidelines and Guarantees for Common Random Numbers

Glasserman, Paul; Yao, David D. - In: Management Science 38 (1992) 6, pp. 884-908

Common random numbers (CRN) is a widely-used technique for reducing variance in comparing stochastic systems through …

Persistent link: https://www.econbiz.de/10009218020

A quasi-random number generator with infinite period

Zielinski, Ryszard - In: Statistics & Probability Letters 4 (1986) 5, pp. 259-259

An aperiodic quasi-random number generator is constructed.

Persistent link: https://www.econbiz.de/10005223041

Simulating multivariate nonnormal distributions

Vale, C.; Maurelli, Vincent - In: Psychometrika 48 (1983) 3, pp. 465-471

Persistent link: https://www.econbiz.de/10005156241

On the Effectiveness of Common Random Numbers

Wright, R. D.; T. E. Ramsay, Jr. - In: Management Science 25 (1979) 7, pp. 649-656

The common random number (CRN) simulation technique is a variance reduction method in which policy alternatives are tested against the same random input streams. The CRN literature suggests that positively correlated input streams will generate positively correlated policy responses and,...

Persistent link: https://www.econbiz.de/10009191691