분산감소기법을 이용한 파라미터 추정의 효율성

• 영문명: Efficiency of Estimation of Parameters by Use of Variance Reduction Techniques
• 발행기관: 한국시뮬레이션학회
• 저자명: 권치명(ChiMyung Kwon)
• 간행물 정보: 『한국시뮬레이션학회 논문지』제14권 제3호, 129~136쪽, 전체 8쪽
• 주제분류: 공학 > 기타공학
• 파일형태: PDF
• 발행일자: 2005.09.30

영문 초록

We develop a variance reduction technique applicable 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 a given model. 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.

목차

1. 서론

2. S-M 기법

3. CV기법의 응용

4. 시뮬레이션 실험 및 결과분석

5. 결론

참고문헌

키워드

Common Random Numbers Antithetic Variates Control Variates Variance Reduction Techniques Simulation Efficiency