Peter Glynn (Stanford)
In this tutorial, we will discuss the basics of simulation. We will start with a quick review of what makes sampling-based methods attractive in many computational settings, and then talk about simulation output analysis. Output analysis is concerned with questions of determining how long a simulation must be run to obtain a solution of prescribed accuracy. In the second half of the tutorial, we will discuss several variance reduction methods that have broad applicability, including control variates and importance sampling. We will conclude with a discussion of gradient estimation.