Published Online: 14 JAN 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
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. .
- Published Online: 14 JAN 2011
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.
- antithetic variate;
- Monte Carlo simulation;
- negative correlation;
- queueing simulation;
- variance reduction