A perspective on variance reduction in dynamic simulation experiments

1 January 1987

journal article
research article
Published by Taylor & Francis in Communications in Statistics - Simulation and Computation

Vol. 16 (2) , 385-426
https://doi.org/10.1080/03610918708812597

Abstract

A unifying perspective on variance reduction is presented that emphasizes broadly defined variance reduction strategies rather than specific variance reduction techniques (VRTs). The perspective is based on a new taxonomy of VRTs, which is reviewed in detail. The variance reduction problem is formulated as a constrained optimization problem, and results that guarantee the effectiveness of variance reduction strategies are summarized.

Keywords

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