Abstract
While external control variates (ECVs) have long been advocated for reducing the variance of simulation estimators, the lack of tractable external control systems and the almost doubling of the computational burden has hindered their use. This paper presents preliminary work on a new type of control variate, the analytic control variate (ACV), that has the advantages of the ECV but requires much less additional computation. Use of an ACV is demonstrated for open queueing networks.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 595-602 |
| Number of pages | 8 |
| Journal | Journal of the Operational Research Society |
| Volume | 39 |
| Issue number | 6 |
| DOIs | |
| State | Published - Jun 1988 |
Keywords
- Control variates
- Queueing network
- Simulation
- Variance reduction
ASJC Scopus subject areas
- Statistics, Probability and Uncertainty
- Modeling and Simulation
- Strategy and Management
- Management Science and Operations Research