Comparing Stochastic Systems Using Regenerative Simulation with Common Random Numbers.
STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH
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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
- Statistics and Probability