IEE 475: Simulating Stochastic Systems

Lecture K2 (2021-11-23): Variance Reduction Techniques, Part 2


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In this lecture, we wrap up our discussion of Variance Reduction Techniques. We introduced Common Random Numbers (CRNs) last time, which we review in this lecture. We then introduce Control Variates (CVs), Antithetic Variates (AVs), and Importance Sampling. These four methods are all examples of amplifying signals in a statistical experiment either by manipulating the simulation execution or using information about known sources of variance to increase statistical power.
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IEE 475: Simulating Stochastic SystemsBy Theodore P. Pavlic


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