Anthithetic-variate splitting for steady-state simulations
type: Item
instance of: scholarly article
title: Anthithetic-variate splitting for steady-state simulations
zbMATH Open document ID: 0676.65150
DOI: 10.1016/0377-2217(88)90129-4
author: Barry L. Nelson
published in: European Journal of Operational Research
publication date: 1988-01-01T00:00:00Z
review text: In order to mitigate the effects of initial conditions it is advisable to discard initial outputs of the realization of given steady-state output process. That is the sample must be very long for precise estimation, and thus expensive. The author supposes a method which includes splitting independent replications at the point of output truncation into dependent replications. This method allows to reduce point estimation variance and/or simulation cost. Numerical examples are given for autoregressive order 1 processes and for GI/I/1 queues with Weibull distributed interarrival and service times.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4108138
zbMATH Keywords: antithetic-variate splitting
zbMATH Keywords: steady-state simulations
zbMATH Keywords: sampling statistics
zbMATH Keywords: time series
zbMATH Keywords: point estimation
zbMATH Keywords: Numerical examples
zbMATH Keywords: autoregressive order 1 processes
zbMATH Keywords: GI/I/1 queues with Weibull distributed interarrival and service times
MaRDI profile type: Publication
full work available at URL: 0377-2217(88)90129-4
OpenAlex ID: W2014968573
cites work: Q3662646
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cites work: Q4077388
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description: scientific article; zbMATH DE number 4108138