A variable used in a variance reduction technique for simulation. It refers to the use of simulated values that are not independent but are negatively correlated.
Suppose, for example, that we wish to estimate the expected value of the random variable X, and that we simulate a value x using the function g of the pseudo-random numbers u1, u2,…, un (0≤uj≤1, for all j):
The antithetic variable procedure makes use of the antitheses of the random numbers, namely (1−u1), (1−u2),…, (1−un), to form x′ given by
Write X′ as the corresponding random variable. It can be shown that the variance of ½(X+X′) is never greater than half the variance of X. There is therefore a gain in precision as well as an increase in efficiency, since each pseudo-random number is used twice.
- point defect
- point discharge
- point elasticity
- pointer
- Pointers
- point estimate
- Point Four Program
- point group
- pointing device
- point kriging
- point load index
- point load tester
- point mass(in mechanics)
- point mutation
- point of application
- point of inflexion
- point of presence
- point-of-sale system
- point pattern analysis
- point process
- points at infinity
- points((change in index))
- point-set topology
- point source
- point-spread function