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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Variance reduction ： ウィキペディア英語版 Variance reduction In mathematics, more specifically in the theory of Monte Carlo methods, variance reduction is a procedure used to increase the precision of the estimates that can be obtained for a given number of iterations. Every output random variable from the simulation is associated with a variance which limits the precision of the simulation results. In order to make a simulation statistically efficient, i.e., to obtain a greater precision and smaller confidence intervals for the output random variable of interest, variance reduction techniques can be used. The main ones are: Common random numbers, antithetic variates, control variates, importance sampling and stratified sampling. Under these headings are a variety of specialized techniques; for example, particle transport simulations make extensive use of "weight windows" and "splitting/Russian roulette" techniques, which are a form of importance sampling. ==Common Random Numbers (CRN)== The common random numbers variance reduction technique is a popular and useful variance reduction technique which applies when we are comparing two or more alternative configurations (of a system) instead of investigating a single configuration. CRN has also been called ''Correlated sampling'', ''Matched streams'' or ''Matched pairs''. CRN requires synchronization of the random number streams, which ensures that in addition to using the same random numbers to simulate all configurations, a specific random number used for a specific purpose in one configuration is used for exactly the same purpose in all other configurations. For example, in queueing theory, if we are comparing two different configurations of tellers in a bank, we would want the (random) time of arrival of the ''N''th customer to be generated using the same draw from a random number stream for both configurations. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Variance reduction」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.