Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management Science 46 (2000) 10, pp. 1349-1364
indicate that an appropriate combination of importance sampling and stratified sampling can result in large variance reductions … to guide the selection of effective variance reduction techniques;specifically importance sampling and stratified … sampling.If the approximation is exact, then the importance sampling is shown to be asymptotically optimal.Numerical results …