Automated estimation and variance reduction via control variates for infinite-horizon simulations

Rowena Añonuevo*, Barry L. Nelson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

We present an automated procedure that interfaces with SIMSCRIPT II.5 simulation experiments to derive point and interval estimators for infinite-horizon parameters of stochastic simulations. The procedure combines the nonoverlapping batch means method of output analysis and the control variates variance reduction technique. Batch size and control variates are selected automatically. The paper emphasizes methodology issues and experimental evaluation rather than the specific software developed.

Original languageEnglish (US)
Pages (from-to)447-456
Number of pages10
JournalComputers and Operations Research
Volume15
Issue number5
DOIs
StatePublished - 1988

ASJC Scopus subject areas

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

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