Bayesian Simulation Optimization with Common Random Numbers

2019 ◽  
Author(s):  
Michael Pearce ◽  
Matthias Poloczek ◽  
Juergen Branke
Keyword(s):  
Simulation Optimization ◽  
Random Numbers ◽  
Common Random Numbers ◽  
Bayesian Simulation

Comparing stochastic systems using regenerative simulation with common random numbers

1979 ◽  
Vol 11 (04) ◽  
pp. 804-819 ◽  
Author(s):  
Philip Heidelberger ◽  
Donald L. Iglehart
Keyword(s):  
Stochastic Models ◽  
Stochastic System ◽  
Variance Reduction ◽  
Stochastic Systems ◽  
Sufficient Conditions ◽  
Random Numbers ◽  
Numerical Examples ◽  
Common Random Numbers ◽  
Regenerative Simulation ◽  
Alternative Designs

Suppose two alternative designs for a stochastic system are to be compared. These two systems can be simulated independently or dependently. This paper presents a method for comparing two regenerative stochastic processes in a dependent fashion using common random numbers. A set of sufficient conditions is given that guarantees that the dependent simulations will produce a variance reduction over independent simulations. Numerical examples for a variety of simple stochastic models are included which illustrate the variance reduction achieved.

On the Effectiveness of Common Random Numbers

1979 ◽  
Vol 25 (7) ◽  
pp. 649-656 ◽  
Author(s):  
R. D. Wright ◽  
T. E. Ramsay
Keyword(s):  
Random Numbers ◽  
Common Random Numbers

Some Guidelines and Guarantees for Common Random Numbers

1992 ◽  
Vol 38 (6) ◽  
pp. 884-908 ◽  
Author(s):  
Paul Glasserman ◽  
David D. Yao
Keyword(s):  
Random Numbers ◽  
Common Random Numbers

scholarly journals Using Common Random Numbers in Health Care Cost-Effectiveness Simulation Modeling

2013 ◽  
Vol 48 (4) ◽  
pp. 1508-1525 ◽  
Author(s):  
Daniel R. Murphy ◽  
Robert W. Klein ◽  
Lee J. Smolen ◽  
Timothy M. Klein ◽  
Stephen D. Roberts
Keyword(s):  
Health Care ◽  
Cost Effectiveness ◽  
Simulation Modeling ◽  
Health Care Cost ◽  
Random Numbers ◽  
Common Random Numbers
Sign in / Sign up

Export Citation Format

Share Document