Variance reduction in queueing simulation using generalized concomitant variables

DOI10.1080/00949658408810723zbMath0569.65100OpenAlexW2021501622MaRDI QIDQ3686007

James R. Wilson, A. Alan B. Pritsker

Publication date: 1984

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658408810723

zbMATH Keywords

parameter estimationsimulationMarkov processesvariance reductionqueueing networkscontrol variatespoststratified sampling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Probabilistic methods, stochastic differential equations (65C99)

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Variance Reduction Techniques for Digital Simulation ⋮ Control-variate methods for comparison with a standard ⋮ Improved point and confidence interval estimators of mean response in simulation when control variates are used ⋮ A perspective on variance reduction in dynamic simulation experiments ⋮ Standardized routing variables: a new class of control variates ⋮ Estimating simulation metamodels using correlated control variates ⋮ The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling

Cites Work

• An introduction to the regenerative method for simulation analysis
• A NOTE ON OPTIMUM STRATIFICATION OF POPULATIONS FOR ESTIMATING THE POPULATION MEANS
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Regenerative Simulation with Internal Controls
• Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems
• Linear Statistical Inference and its Applications
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