Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
研究对偶变量和公共随机数在依赖元素随机系统模拟中的方差缩减效果，证明其在估计响应和或差时的最优性，并讨论不同响应函数假设下的效率，应用于可靠性、网络和排队系统。
Some theoretical and practical aspects antithetic and common random numbers for variance reduction in simulation of stochastic systems with dependent elements are considered. A proof of their optimality in estimating the expected value of the response sum or the response difference of a pair of functions of vector arguments with dependent components is presented. The efficiency of antithetic and common random numbers for variance reduction under different assumptions for the response functions is discussed. Applications to reliability, networks and queueing systems are given.