haku: @indexterm RANDOM NUMBERS / yhteensä: 30
viite: 8 / 30
| Tekijä: | Nelson, B. Hsu, J. |
| Otsikko: | Control-variate models of common random numbers for multiple comparisons with the best |
| Lehti: | Management Science
1993 : AUG, VOL. 39:8, p. 989-1001 |
| Asiasana: | SIMULATION COMPARATIVE RESEARCH RANDOM NUMBERS MODELS |
| Kieli: | eng |
| Tiivistelmä: | Using common random numbers (CRN) in simulation experiment design is known to reduce the variance of estimators of differences in system performance. However, when more than two systems are compared, exact simultaneous statistical inference in conjunction with CRN is typically impossible. The authors introduce control-variate models of CRN that permit exact statistical inference, specifically multiple comparisons with the best. These models explain the effect of CRN via a linear regression of the simulation output on "control variates" that are functions of the simulation inputs. |
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