Gives an overview of the main techniques for improving the statistical efficiency of simulation estimators. Efficiency improvement is typically (but not always) achieved through variance reduction. We discuss methods such as common random numbers, antithetic variates, control variates, importance sampling, conditional Monte Carlo, stratified sampling, and some others, as well as the combination of certain of those methods. We also survey the recent literature on this topic.
No takes yet. Share an insight, caveat, or question.
Pierre L’Ecuyer (2005) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: