Simulation Efficiency of Method of Antithetic Control Variates

• 발행기관: 한국자료분석학회
• 저자명: Chimyung Kwon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.2 No.1, 121~132쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2000.03.30

영문 초록

This research focuses on the applications of partial and complete antithetic variates with use of control variates to obtain a more efficient estimator for system response in a simulation experiment. Under the normality assumption on the response and control variates, we specify the simulation efficiencies of considered methods analytically and investigate them in a machine repair system. Experimental results show that both antithetic methods have the marginal gain in estimating the mean response.

목차

1. Introduction

2. Random Number Assignment Rules and Related Assumptions

3. Complete Antithetic Control Variate Method

4. Partial Antithetic Control Variate Method

5. Example

6. Summary and Conclusions

References