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...

We show how, from a single simulation run, to estimate the ruin probabilities and their sensitivities (derivatives) in a classic insurance risk model under various distributions of the number of claims and the claim size. Similar analysis is given for the tail probabilities of the accumulated...

Comments about Gitlow, H. S. 1976. A methodology for determining the optimal design of a free standing abortion clinic. Management Sci. 22 (12, August) 1289-1298.

Linear regression analysis is important in many fields. In the analysis of simulation results, a regression (meta)model can be applied, even when common pseudorandom numbers are used. To test the validity of the specified regression model, Rao (1959) generalized the F statistic for lack of fit,...

To analyze simulation runs which use the same random numbers, the blocking concept of experimental design is not needed. Instead, this paper applies a linear regression model with a nondiagonal covariance matrix. This covariance matrix does not need to have a specific pattern such as constant...

Trace-driven (or correlated inspection) simulation means that the simulated and the real systems have some common inputs (say, historical arrival times) so that the two systems' outputs are cross-correlated. To validate such a simulation, this paper focuses on the difference between the average...

This paper argues that it is wrong to require that regressing the outputs of a trace-driven simulation on the observed real outcomes should give a 45° (unit slope) line through the origin (zero intercept). This note proposes instead an alternative requirement: the responses of the simulated and...

This paper describes the use of multiple ranking procedures to analyze data generated from computer simulation experiments with models of management systems. After outlining the rationale for the use of multiple ranking procedures with computer simulation experiments and defining some basic...

In the recent issue of Management Science Fox (Fox, B. 1978. Estimation and simulation. Management Sci. 24 (8, April) 860-861.) expressed doubts about the relevance of steady-state behavior. In a reply Schruben (Schruben, L. W. 1978. Reply to Fox. Management Sci. 24 (8, April) 862.) disagreed on...

Vector computers provide a new tool for management scientists. The application of that tool requires thinking in vector mode. This mode is examined in the context of Monte Carlo experiments with regression models; these regression models may serve as metamodels in simulation experiments. The...