Improving simulation efficiency with quasi control variates

Stochastic Models

Volumn 18, Issue 3, 2002, Pages 425-448

  Emsermann, Markus ^a   Simon, Burton ^a  

^a UNIVERSITY OF COLORADO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; PARAMETER ESTIMATION; PARTIAL DIFFERENTIAL EQUATIONS; VARIATIONAL TECHNIQUES;

ESTIMATORS;

QUEUEING THEORY;

EID: 0041424804     PISSN: 15326349     EISSN: None     Source Type: Journal    
DOI: 10.1081/STM-120014220     Document Type: Article

References (10)

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2. Law, A.M.; Kelton, W.D. Variance Reduction-Techniques. Simulation Modeling and Analysis, 2nd Ed.; McGraw Hill: New York, 1991.
3. Billingsley, P. Convergence of Probability Measures; John Wiley and Sons: New York, 1968.
4. Schmeiser, B.W.; Taaffe, M.R.; Wang, J. Control-Variate Estimation Using Estimated Control Means. IIE Trans. 2000, In press.
5. Schmeiser, B.W.; Taaffe, M.R.; Wang, J. Biased Control-Variate Estimation. IIE Trans. 2001, 33 (3), 219-229.
6. Emsermann, M. Variance Reduction with Quasi Control Variates. Ph.D. Thesis, Department of Mathematics, University of Colorado at Denver, Denver, CO.
7. Pereira, M.V.F.; Pinto, L.M.V.G. A New Computational Tool for Composite Reliability Evaluation. IEEE Trans. Power Syst. 1992, 7 (1), 258-264.
8. Graham, W.; McLaughlin, D. Stochastic Analysis of Nonstationary Subsurface Solute Transport, 1. Unconditional Moments. Wat. Resour. Res. 1989, 25 (2), 215-232.
9. Henderson, S.G.; Glynn, P.W. Approximating Martingales for Variance Reduction. Math. Oper. Res. 2001, In press.
10. Fleming, P.J.; Simon, B. Diffusion Approximations of an Infinite Server Network with Load Balancing. Prob. Eng. Informational Sci. 1999, 13, 251-273.