EFFECTIVENESS OF ANTITHETIC SAMPLING AND STRATIFIED SAMPLING IN MONTE-CARLO CHRONOLOGICAL PRODUCTION COST MODELING

被引：21

作者：

MARNAY, C ^{[1
]}

STRAUSS, T ^{[1
]}

机构：

[1] UNIV CALIF BERKELEY,IND ENGN & OPERAT RES,BERKELEY,CA 94720

来源：

IEEE TRANSACTIONS ON POWER SYSTEMS | 1991年 / 6卷 / 02期

关键词：

CONVERGENCE CRITERIA; LEAST-COST PLANNING; MARGINAL COST; MEAN AND VARIANCE OF PRODUCTION COST; PRODUCTION COSTING; SYSTEM PLANNING; VARIABLE OPERATING COST; VARIANCE REDUCTION;

D O I：

10.1109/59.76711

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Sampling error detracts from the usefulness of estimates of mean hourly marginal cost produced by Monte Carlo chronological production cost models. Variance reduction techniques commonly used in other Monte Carlo simulation applications can significantly improve the precision of estimates. Two such techniques, antithetic sampling and stratified sampling, are tested for a fictitious system. The number of iterations needed to reach a precision target falls significantly. The estimated savings in total computing time could exceed 50 percent for a full one-year forecast. Both techniques are easily implemented and should be used in Monte Carlo production costing efforts to estimate hourly marginal cost.

引用

页码：669 / 675

页数：7