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Antithetic Variates

  1. Donghai He,
  2. Chun-Hung Chen

Published Online: 14 JAN 2011

DOI: 10.1002/9780470400531.eorms0031

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

He, D. and Chen, C.-H. 2011. Antithetic Variates. Wiley Encyclopedia of Operations Research and Management Science. .

Author Information

  1. George Mason University, Department of Systems Engineering and Operations Research, Fairfax, Virginia

Publication History

  1. Published Online: 14 JAN 2011

Abstract

Antithetic variates is a useful and simple technique for variance reduction in Monte Carlo simulation. The basic idea is to induce negative correlation into random samples. This article gives an overview of antithetic variates and discusses their recent development. Numerical results are presented to illustrate their effectiveness.

Keywords:

  • antithetic variate;
  • Monte Carlo simulation;
  • negative correlation;
  • queueing simulation;
  • variance reduction