IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v31y1985i1p66-77.html
   My bibliography  Save this article

Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems

Author

Listed:
  • Reuven Y. Rubinstein

    (Technion---Israel Institute of Technology, Haifa, Israel)

  • Gennady Samorodnitsky

    (Technion---Israel Institute of Technology, Haifa, Israel)

  • Moshe Shaked

    (Department of Mathematics, University of Arizona, Tucson, Arizona 85721)

Abstract

Some theoretical and practical aspects antithetic and common random numbers for variance reduction in simulation of stochastic systems with dependent elements are considered. A proof of their optimality in estimating the expected value of the response sum or the response difference of a pair of functions of vector arguments with dependent components is presented. The efficiency of antithetic and common random numbers for variance reduction under different assumptions for the response functions is discussed. Applications to reliability, networks and queueing systems are given.

Suggested Citation

  • Reuven Y. Rubinstein & Gennady Samorodnitsky & Moshe Shaked, 1985. "Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems," Management Science, INFORMS, vol. 31(1), pages 66-77, January.
    • Handle: RePEc:inm:ormnsc:v:31:y:1985:i:1:p:66-77
    DOI: 10.1287/mnsc.31.1.66
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.31.1.66
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.31.1.66?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sordo, Miguel A. & Suárez-Llorens, Alfonso & Bello, Alfonso J., 2015. "Comparison of conditional distributions in portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 62-69.
    2. Chih, Mingchang, 2023. "Stochastic stability analysis of particle swarm optimization with pseudo random number assignment strategy," European Journal of Operational Research, Elsevier, vol. 305(2), pages 562-593.
    3. Alfred Müller & Marco Scarsini, 2001. "Stochastic Comparison of Random Vectors with a Common Copula," Mathematics of Operations Research, INFORMS, vol. 26(4), pages 723-740, November.
    4. Belzunce, Félix & Ruiz, José M. & Suárez-Llorens, Alfonso, 2008. "On multivariate dispersion orderings based on the standard construction," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 271-281, February.
    5. Fernández-Ponce, J.M. & Pellerey, F. & Rodríguez-Griñolo, M.R., 2011. "A characterization of the multivariate excess wealth ordering," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 410-417.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:31:y:1985:i:1:p:66-77. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.