층화추출에 의한 통제변수의 시뮬레이션 성과분석 = Simulation Analysis of Control Variates Method Using Stratified sampling

다국어 초록 (Multilingual Abstract)

This research suggests a unified scheme for using stratified sampling and control variates method to improve the efficiency of estimation for parameters in simulation experiments. We utilize standardized concomitant variables defined during the course of simulation runs. We first use these concomitant variables to counteract the unknown error of response by the method of control variates, then use a concomitant variable not used in the controlled response and stratify the response into appropriate strata to reduce the variation of controlled response additionally. In case that the covariance between the response and a set of control variates is known, we identify the simulation efficiency of suggested method using control variates and stratified sampling. We conjecture the simulation efficiency of this method is better than that achieved by separated application of either control variates or stratified sampling in a simulation experiments. We investigate such an efficiency gain through simulation on a selected model.

참고문헌 (Reference)

1 Sethi,V.K, "note on Optimum Stratification of populations for estimating population means" 5 : 20-33, 1963

2 Kwon, C, "Strategies for Combining Antithetic Variates and Control Varuates in Designed Simulation Experiments" 40 (40): 1021-1034, 1994

3 Kleijnen J.P.C, "Statistical Techniques in Simulation, Part I" Marcel Decker 1974

4 Pritsker, A.A.B, "Simulation with Visual SLAM and AWeSim" John Wiley & Sons 1999

5 Law, A.M, "Simulation Modeling and Analysis" MacGraw-Hill 2000

6 Cochran, W.C, "Sampling Techniques" John Wiley & Sons 1977

7 Schruben, L.W, "Pseudo-random Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments" 73 : 504-525, 1978

8 Wilson, J.R, "Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables" 30 : 1459-1472, 1984

9 Kwon, C, "Combined Correlation Methods for Meta-model Estimation in Multi-population Simulation Experiments" 49 : 49-75, 1994

10 Anderson, T. W, "An Introduction to Multivariates Statistical Analysis" John Wiley & Sons 1984