Download or read book Techniques for Efficient Monte Carlo Simulation Volume III Variance Reduction written by E. J. McGrath and published by . This book was released on 1973 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many Monte Carlo simulation problems lend themselves readily to the application of variance reduction techniques. These techniques can result in great improvements in simulation efficiency. The document describes the basic concepts of variance reduction (Part 1), and a methodology for application of variance reduction techniques is presented in Part 2. Appendices include the basic analytical expressions for application of variance reduction schemes as well as an abstracted bibliography. The techniques considered here include importance sampling, Russian roulette and splitting, systematic sampling, stratified sampling, expected values, statistical estimation, correlated sampling, history reanalysis, control variates, antithetic variates, regression, sequantial sampling, adjoint formulation, transformations, orthonormal and conditional Monte Carlo. Emphasis has been placed on presentation of the material for application by the general user. This has been accomplished by presenting a step by step procedure for selection and application of the appropriate technique(s) for a given problem. (Author).