Variance Reduction Techniques

(VRT)
(Law and Kelton)

VRTs
Increase the simulation efficiency -- statistical
efficiency.
Reducing the variances of the random variables
outputs from a simulation without disturbing its
expectation, we can obtain greater precision with less
simulation time.
These techniques can make the difference of making
a very expensive simulation versus a frugal one.
All VRTs require some effort of understanding the
model and the effects of VRT on it.
Developed mainly for Monte Carlo simulation. But
can also be used in independent sampling and
correlated sampling.

Common Random Numbers (CRN)

Used when comparing two or more alternative
system configurations instead of investigating a
single configuration.
Sometimes called correlated sampling, matched
streams, matched pairs.
Random numbers are used to generate random
variates from other distributions which are used to
drive the simulation models. Thus it is necessary
to ensure that generated variates react
monotonically to U.
Be aware of backfiring.
It is important to dedicate a stream of random
number to a specific random variate generator.

Antithetic Variates (AV)

Used in simulating single systems.
Induced correlation between separate runs, but
seeks negative correlation.
To make pairs of small observation and a large
observation. These observations should offset each
other. These average of the two will be closer to
the expected compared to when the two outputs
are independent.
AV uses complimentary random numbers to drive
the two replication in pairs.
-It is important to point out to use U in one
replication and U -1 in the succeeding.

Control Variates (CV)

Attempts to take advantage of correlation between
certain random variables to obtain a variance
reduction.
These correlations may arise during simulation or
induced through an auxiliary simulation.
Given X and Y random variables, if Y affects X,
and if Y > v, then X > and vice-versa.

Indirect Estimation
applied usually for queueing-type simulation
models where the measures to be estimated are
steady-state measures
we can substitute actual expectations which can be
arrived at through an exact solution.

Conditioning
Similar to indirect estimation.
Exploits some special property of a model to
replace an estimate of a quantity by its exact
analytical value.