Antithetic-variate splitting for steady-sate simulations

Barry L. Nelson*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

Obtaining precise estimates of parameters of infinite-horizon or steady-state simulations can be expensive because of the need to discard initial outputs to mitigate the effects of initial conditions. We consider splitting independent replications at the point of output truncation into dependent replications to reduce point estimator variance and/or simulation cost.

Original languageEnglish (US)
Pages (from-to)360-370
Number of pages11
JournalEuropean Journal of Operational Research
Volume36
Issue number3
DOIs
StatePublished - Sep 1988

ASJC Scopus subject areas

  • Computer Science(all)
  • Modeling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management

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