Efficiency Improvement Techniques

P. W. Glynn

The Annals of Operations Research, Vol. 53, 175-198 (1994)

This paper provides an overview of the five most commonly used statistical techniques for improving the efficiency of stochastic simulations: control variates, common random numbers, importance sampling, conditional Monte Carlo, and stratification. The paper also describes a mathematical framework for discussion of efficiency issues that quantifies the trade-off between lower variance and higher computational time per observation.