Accession Number:

ADA055618

Title:

Comparing Stochastic Systems Using Regenerative Simulation with Common Random Numbers.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH

Report Date:

1978-05-01

Pagination or Media Count:

31.0

Abstract:

Suppose two alternative designs for a stochastic system are to be compared. These two systems can be simulated independently or dependently. This paper presents a method for comparing two regenerative stochastic processes in a dependent fashion using common random numbers. A set of sufficient conditions is given that guarantees that the dependent simulations will produce a variance reduction over independent simulations. Numerical examples for a variety of simple stochastic models are included which illustrate the variance reduction achieved. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE