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On the optimality and efficiency of common random numbers

Author

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  • Gal, S.
  • Rubinstein, R.Y.
  • Ziv, A.

Abstract

Some theoretical and practical aspects of common random numbers (CRN) for variance reduction in simulation analysis are considered. A simple proof of the optimality of CRN is presented and the efficiency of this technique for variance reduction is discussed. Applications of CRN to production planning and inventory problems while using stochastic approximation are given.

Suggested Citation

  • Gal, S. & Rubinstein, R.Y. & Ziv, A., 1984. "On the optimality and efficiency of common random numbers," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 26(6), pages 502-512.
    • Handle: RePEc:eee:matcom:v:26:y:1984:i:6:p:502-512
    DOI: 10.1016/0378-4754(84)90030-2
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    References listed on IDEAS

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    1. R. D. Wright & T. E. Ramsay, Jr., 1979. "On the Effectiveness of Common Random Numbers," Management Science, INFORMS, vol. 25(7), pages 649-656, July.
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    Cited by:

    1. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & Gang Liu, 2017. "Rare event simulation related to financial risks: efficient estimation and sensitivity analysis," Working Papers hal-01219616, HAL.
    2. Nathan L. Kleinman & James C. Spall & Daniel Q. Naiman, 1999. "Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers," Management Science, INFORMS, vol. 45(11), pages 1570-1578, November.

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