The Application of Two Variance-Reducing Techniques on a Queueing Simulation in Simula-67

摘要

Two simple methods, correlated and antithetic sampling, to reduce the variance of Monte Carlo estimates, are discussed and illustrated on a queueing problem which was coded in Simula-67. The variance reduction achieved with the two techniques was approximately a factor of 11 for correlated sampling and 1.75 for antithetic sampling. It is concluded that the cost of obtaining a given accuracy is reduced by a factor of 14. (Author)