Lecture K2: Variance Reduction Techniques, Part 2 (2019-11-21) – Antithetic Variates and Importance Sampling

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IEE 475: Simulating Stochastic Systems

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This lecture covers Variance Reduction Techniques (VRT) for stochastic simulation, covering: Common Random Numbers (CRNs), Control Variates (CVs), Antithetic Variates (AVs), and Importance Sampling. The lecture mainly focuses on AVs and Importance sampling with an overview of CRN and CV topics covered in Part 1 of this lecture.