Control-variate estimation using estimated control means

IIE Transactions (Institute of Industrial Engineers)

Volumn 44, Issue 5, 2012, Pages 381-385

  Pasupathy, Raghu ^a   Schmeiser, Bruce W ^b   Taaffe, Michael R ^a   Wang, Jin ^c  

^a Virginia Polytechnic Institute and State University   (United States)

^b SCHOOL OF INDUSTRIAL ENGINEERING   (United States)

^c VALDOSTA STATE UNIVERSITY   (United States)

Author keywords

Monte Carlo; Simulation; variance reduction

Indexed keywords

ADDITIONAL SAMPLING; CLASSICAL CONTROL; CONTROL VARIATES; MONTE CARLO; OPTIMAL ESTIMATOR; PRIOR SIMULATION; SAMPLING EFFICIENCY; SIMULATION; SIMULATION EXPERIMENTS; STOCHASTIC SIMULATIONS; VARIANCE REDUCTIONS;

EXPERIMENTS; STOCHASTIC MODELS;

ESTIMATION;

EID: 84863239351     PISSN: 0740817X     EISSN: 15458830     Source Type: Journal    
DOI: 10.1080/0740817X.2011.610430     Document Type: Article

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