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Volumn 1, Issue , 2004, Pages 621-629

Adaptive control variates

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; ESTIMATION; ITERATIVE METHODS; MATHEMATICAL MODELS; MONTE CARLO METHODS; PERFORMANCE; RANDOM PROCESSES;

EID: 17744389627     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper
Times cited : (11)

References (17)
  • 1
    • 17744368495 scopus 로고    scopus 로고
    • Convergence theory for nonconvex stochastic programming with an application to mixed logit
    • To appear
    • Bastin, F., C. Cirillo, and P. L. Toint. 2004. Convergence theory for nonconvex stochastic programming with an application to mixed logit. Mathematical Programming. To appear.
    • (2004) Mathematical Programming
    • Bastin, F.1    Cirillo, C.2    Toint, P.L.3
  • 3
    • 0042240906 scopus 로고    scopus 로고
    • Some new perspectives on the method of control variates
    • ed. K. T. Fang, FJ.Hickernell, and H. Niederreiter, Berlin: Springer-Verlag
    • Glynn, P. W., and R. Szechtman. 2002. Some new perspectives on the method of control variates. In Monte Carlo and Quasi-Monte Carlo Methods 2000, ed. K. T. Fang, FJ.Hickernell, and H. Niederreiter, 27-49. Berlin: Springer-Verlag.
    • (2002) Monte Carlo and Quasi-monte Carlo Methods 2000 , pp. 27-49
    • Glynn, P.W.1    Szechtman, R.2
  • 4
    • 0036577053 scopus 로고    scopus 로고
    • Approximating martingales for variance reduction in Markov process simulation
    • Henderson, S. G., and P. W. Glynn. 2002. Approximating martingales for variance reduction in Markov process simulation. Mathematics of Operations Research 27:253-271.
    • (2002) Mathematics of Operations Research , vol.27 , pp. 253-271
    • Henderson, S.G.1    Glynn, P.W.2
  • 5
    • 0031331436 scopus 로고    scopus 로고
    • Efficient simulation of multiclass queueing networks
    • ed. S. Andradóottir, K. J. Healy, D. H. Withers, and B. L. Nelson, Piscataway, New Jersey: Institute of Electrical and Electronics Engineers
    • Henderson, S. G., and S. P. Meyn. 1997. Efficient simulation of multiclass queueing networks. In Proceedings of the 1997 Winter Simulation Conference, ed. S. Andradóottir, K. J. Healy, D. H. Withers, and B. L. Nelson, 216-223. Piscataway, New Jersey: Institute of Electrical and Electronics Engineers.
    • (1997) Proceedings of the 1997 Winter Simulation Conference , pp. 216-223
    • Henderson, S.G.1    Meyn, S.P.2
  • 6
    • 17744395105 scopus 로고    scopus 로고
    • Variance reduction for simulation in multiclass queueing networks
    • Submitted
    • Henderson, S. G., and S. P. Meyn. 2003. Variance reduction for simulation in multiclass queueing networks. IIE Transactions. Submitted.
    • (2003) IIE Transactions
    • Henderson, S.G.1    Meyn, S.P.2
  • 7
    • 0037289503 scopus 로고    scopus 로고
    • Performance evaluation and policy selection in multiclass networks
    • Special issue on learning and optimization methods
    • Henderson, S. G., S. P. Meyn, and V. Tadić. 2003. Performance evaluation and policy selection in multiclass networks. Discrete Event Dynamic Systems 13:149-189. Special issue on learning and optimization methods.
    • (2003) Discrete Event Dynamic Systems , vol.13 , pp. 149-189
    • Henderson, S.G.1    Meyn, S.P.2    Tadić, V.3
  • 8
    • 10244222906 scopus 로고    scopus 로고
    • Adaptive simulation using perfect control variates
    • To appear
    • Henderson, S. G., and B. Simon. 2004. Adaptive simulation using perfect control variates. Journal of Applied Probability 41 (3). To appear.
    • (2004) Journal of Applied Probability , vol.41 , Issue.3
    • Henderson, S.G.1    Simon, B.2
  • 14
    • 1542288805 scopus 로고    scopus 로고
    • Value functions, optimization and performance evaluation in stochastic network models
    • Submitted
    • Meyn, S. P. 2003. Value functions, optimization and performance evaluation in stochastic network models. IEEE Transactions on Automatic Control. Submitted.
    • (2003) IEEE Transactions on Automatic Control
    • Meyn, S.P.1
  • 15
    • 28044445224 scopus 로고    scopus 로고
    • Monte Carlo sampling methods
    • ed. A. Ruszczynski and A. Shapiro, Handbooks in Operations Research and Management Science. Elsevier. To appear
    • Shapiro, A. 2003. Monte Carlo sampling methods. In Stochastic Programming, ed. A. Ruszczynski and A. Shapiro, Handbooks in Operations Research and Management Science. Elsevier. To appear.
    • (2003) Stochastic Programming
    • Shapiro, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.