Analytic and external control variates for queueing network simulation

Anthony P. Sharon, Barry L. Nelson

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

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 languageEnglish (US)
Pages (from-to)595-602
Number of pages8
JournalJournal of the Operational Research Society
Volume39
Issue number6
DOIs
StatePublished - Jun 1988

Keywords

  • Control variates
  • Queueing network
  • Simulation
  • Variance reduction

ASJC Scopus subject areas

  • Management Information Systems
  • Strategy and Management
  • Management Science and Operations Research
  • Marketing

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