Variance Reduction Techniques for an Inventory Simulation.
Abstract
The author evaluates several variance reduction schemes for use in simulating inventory control systems. The methods investigated include several variants of antithetic variates, control variates and conditional Monte Carlo. Of these, it is found that the conditional Monte Carlo approach is the best single method. Slightly improved results are obtained when this method is combined with antithetic sampling.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 1975
- Accession Number
- ADA015690
Entities
People
- Richard Ehrhardt
Organizations
- Yale University