IEE 475: Simulating Stochastic Systems

Lecture K1 (2021-11-18): Variance Reduction Techniques, Part 1


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In this lecture, we wrap up our discussion of the movement from point estimation (sample means) to interval estimation for: (a) estimating absolute performance of a system, (b) estimating relative performance of two systems, and (c) estimating relative performance of more than 2 systems. We then pivot to discussing Variance Reduction Techniques (VRT's), starting with Common Random Numbers (CRN's).
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IEE 475: Simulating Stochastic SystemsBy Theodore P. Pavlic


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