Estimation of nonlinear simulation metamodels using control variates

Journal of Statistical Computation and Simulation

Volumn 75, Issue 12, 2005, Pages 959-973

  Santos, M Isabel Reis ^a   Porta Nova, Acácio M O ^a  

^a UNIVERSITY OF LISBON   (Portugal)

Author keywords

Control variates; Modeling; Nonlinear metamodels; Simulation; Variance reduction techniques

Indexed keywords

EID: 30344444483     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650412331299201     Document Type: Article

References (19)

1. Barton, R.R., 1992, Metamodels for simulation of input-output relations. Proceedings of the Winter Simulation Conference, pp. 289-299.
2. Nozari, A., Arnold, S.F. and Pegden, C.D., 1984, Control variates for multipopulation simulation experiments. IIE Transactions, 16, 159-169.
3. Porta Nova, A.M. and Wilson, J.R., 1989, Estimation of multiresponse simulation metamodels using control variates. Management Science, 35(11), 1316-1333.
4. Shih, N.H. and Song, W.T., 1995, Estimating simulation metamodels using correlated control variates. Communications in Statistics B-Simulation and Computation, 24(1), 79-90.
5. Friedman, L.W. and Friedman, H.H., 1985, Validating the simulation metamodel: some practical approaches. Simulation, 45(3), 144-146.
6. Santos, M.I. and Porta Nova, A.M., 1999, The main issues in nonlinear simulation metamodel estimation. Proceedings of the Winter Simulation Conference, pp. 502-509.
7. Glynn, P.W. and Whitt, W., 1989, Indirect estimation via L = λW. Operations Research, 37(1), 82-103.
8. Loh, W.W., 1994, On the method of control variates. Unpublished PhD dissertation, Department of Operations Research, Stanford University, Stanford, CA, USA (Downloadable from website http://www-or.stanford.edu/simlib/theses.html).
9. Seber, G.A.F. and Wild, C.J., 1989, Nonlinear Regression (New York, NY, USA: John Wiley and Sons).
10. Lavenberg, S.S. and Welch, P.D., 1981, A perspective on the use of control variables to increase the efficiency of Monte Carlo simulations. Management Science, 27(3), 322-335.
11. Searle, S.R., 1971, Linear Models (New York, NY, USA: John Wiley and Sons).
12. Arnold, S.F., 1981, The Theory of Linear Models and Multivariate. Analysis (New York, NY, USA: John Wiley and Sons).
13. Nozari, A., 1982, On simulation experiments for multipopulation problems. Unpublished PhD dissertation, Pennsylvania State University.
14. Porta Nova, A.M., 1985, A generalized approach to variance reduction in discrete-event simulation using control variables. Unpublished PhD dissertation, University of Texas.
15. Venkatraman, S. and Wilson, J., 1986, The efficiency of control variates in multire-sponse simulation. Operations Research Letters, 5(1), 37-42.
16. Rubinstein, R.Y. and Marcus, R., 1985, Efficiency of multivariate control variates in Monte Carlo simulation. Operations Research, 33(3), 661-677.
17. Lavenberg, S.S., Moeller, T.L. and Welch, P.D., 1982, Statistical results on control variables with application to queuing network simulation. Operations Research, 30, 182-202.
18. Welch, P.D., 1983, The statistical analysis of simulation results. In: S.S. Lavenberg (Ed.) Computer Performance Modeling Handbook (New York, NY, USA: Academic Press), pp. 268-328.
19. Kleijnen, J.P.C., 1992, Regression metamodels for simulation with common random numbers: comparison of validation tests and confidence intervals. Management Science, 38(8), 1164-1184.