Decomposition of Some Well-Known Variance Reduction Techniques. Revision.

Abstract

Proliferation of techniques and lack of unifying structure has hindered both study and application of variance reduction. The author's recently developed unifying structure, presented in detail elsewhere, is a taxonomy that views each variance reduction technique (VRT) as a transformation from one experiment to another. The taxonomy is exhaustive in that any VRT can be expressed as a composition of elemental transformations from six classes. This paper illustrates this taxonomy by using the notation, terminology, and concepts of the taxonomy to discuss seven VRTs. The objective is to use the reader's knowledge of these well-known techniques to provide an introduction and overview of the taxonomy. Key words: Common Random Numbers, Conditional Expectations, Control Variates, Importance Sampling, Monte Carlo Method, Stratified sampling, Simulation. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1985
Accession Number
ADA158048

Entities

People

  • B. L. Nelson
  • B. W. Schmeiser

Organizations

  • Purdue University

Tags

Communities of Interest

  • Space

DTIC Thesaurus Topics

  • Control Systems
  • Decomposition
  • Engineering
  • Estimators
  • Industrial Engineering
  • Military Research
  • Monte Carlo Method
  • Probability
  • Probability Distributions
  • Random Variables
  • Sampling
  • Schools
  • Simulations
  • Statistical Sampling
  • Statistics
  • Systems Engineering
  • Universities

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Business Analytics
  • Statistical inference.