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 Nth customer to be generated using the same draw from a random number stream for both configurations.
Read more about this topic: Variance Reduction
Famous quotes containing the words common, random and/or numbers:
“Panurge was of medium stature, neither too large, nor too small ... and subject by nature to a malady known at the time as “Money-deficiency,”Ma singular hardship; nevertheless, he had sixty-three ways of finding some for his needs, the most honorable and common of which was by a form of larceny practiced furtively.”
—François Rabelais (1494–1553)
“poor Felix Randal;
How far from then forethought of, all thy more boisterous years,
When thou at the random grim forge, powerful amidst peers,
Didst fettle for the great gray drayhorse his bright and battering
sandal!”
—Gerard Manley Hopkins (1844–1889)
“One murder makes a villain, millions a hero. Numbers sanctify, my good fellow.”
—Charlie Chaplin (1889–1977)