Vector Computers, Monte Carlo Simulation and Regression Analysis: An Introduction

Vector computers provide a new tool for management scientists. The application of that tool requires thinking in vector mode. This mode is examined in the context of Monte Carlo experiments with regression models; these regression models may serve as metamodels in simulation experiments. The vector mode needs to exploit a specific dimension of the Monte Carlo experiment, namely the replicates of that experiment. Taking advantage of the machine architecture gives a code that computes Ordinary Least Squares estimates on a Cyber 205 in only 2% of the time needed on a Vax 8700. For Generalized Least Squares estimates, however, the code runs slower on the Cyber 205 than on the VAX, if the regression model is small; for large models the CYBER 205 runs much faster.

• 저널Management Science · 38(2) · 170–181
• 토픽Simulation Techniques and Applications · Management Science and Operations Research
• DOI10.1287/mnsc.38.2.170
• 저자J.P.C. Kleijnen, B. Annink