Selecting control variates to estimate multiresponse simulation metamodels

DOI10.1016/0377-2217(93)90262-LzbMath0797.62052OpenAlexW2093096377MaRDI QIDQ1319549

Acácio M. O. Porta Nova, James R. Wilson

Publication date: 25 October 1994

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(93)90262-l

zbMATH Keywords

variance reduction techniquescovariance structuresestimation of a multiresponse metamodelinput vector of design variablesoptimal selection of control variatesoptimal set of controlsoutput vector of simulation response variables

Mathematics Subject Classification ID

Multivariate analysis (62H99) Linear inference, regression (62J99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Estimating simulation metamodels using correlated control variates

Cites Work

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• Variance Reduction Techniques for Digital Simulation
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• A perspective on variance reduction in dynamic simulation experiments
• Monte Carlo, Control Variates, and Stochastic Ordering
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Control-variate selection criteria
• Estimation of Multiresponse Simulation Metamodels Using Control Variates
• Simulation of stochastic activity networks using path control variates

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