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Replicated Computations Results (RCR) Report for “Green Simulation: Reusing the Output of Repeated Experiments”

Published: 27 October 2017 Publication History

Abstract

“Green Simulation: Reusing the Output of Repeated Experiments” by Feng and Staum describes methods based on likelihood ratio or importance sampling theory for reusing the outputs of simulation experiments at previous parameter settings to augment and improve (by reducing the estimator variance) simulation experiments at new parameter settings. The article presents empirical results for two realistic examples in the area of finance; Matlab code for these examples was made available by the authors. The examples were straightforward to run without extensive knowledge of Matlab, and both experiment and scenario parameters can be altered easily. All experiment results in the article were reproduced.

Reference

[1]
Mingbin Feng and Jeremy Staum. 2017. Green simulation: Reusing the output of repeated experiments. Transactions on Modeling and Computer Simulation (2017). To appear.

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  1. Replicated Computations Results (RCR) Report for “Green Simulation: Reusing the Output of Repeated Experiments”

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    cover image ACM Transactions on Modeling and Computer Simulation
    ACM Transactions on Modeling and Computer Simulation  Volume 27, Issue 4
    October 2017
    158 pages
    ISSN:1049-3301
    EISSN:1558-1195
    DOI:10.1145/3155315
    Issue’s Table of Contents
    Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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    Association for Computing Machinery

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    Publication History

    Published: 27 October 2017
    Accepted: 01 August 2017
    Received: 01 July 2017
    Published in TOMACS Volume 27, Issue 4

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    Author Tags

    1. Importance sampling
    2. financial engineering
    3. variance reduction

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