Journal of the Korea Society for Simulation (한국시뮬레이션학회논문지)
- Volume 4 Issue 1
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- Pages.25-36
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- 1995
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- 1225-5904(pISSN)
Application of Variance Reduction Techniques in Designed Simulation Experiments
시뮬레이션 실험설계에서 분산감소기법의 응용
Abstract
We develop a variance reduction technique in one simulation experiment whose purpose is to estimate the parameters of a first-order linear model. This method utilizes the control variates obtained during the course of simulation run under Schruben and Margolin's method (S-M method). The performance of this method is shown to be similar in estimating the main effects, and to be superior to S-M method in estimating the overall mean response in the hospital simulation experiment. For the general case, we consider that a proposed method may yield a better result than S-M method if selected control variates are highly correlated with the response at each design point.
Keywords