Batch size effects on the efficiency of control variates in simulation

Barry L. Nelson*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

14 Scopus citations

Abstract

This paper considers the combined use of control variates and batching for estimating the steady-state mean of an infinite-horizon process via simulation. Properties of the point and interval estimators from such a procedure are derived as functions of the number of batches and the number of control variates when the total sample size is fixed.

Original languageEnglish (US)
Pages (from-to)184-196
Number of pages13
JournalEuropean Journal of Operational Research
Volume43
Issue number2
DOIs
StatePublished - Nov 27 1989

Keywords

  • Simulation
  • multivariate statistics
  • regression

ASJC Scopus subject areas

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

Fingerprint Dive into the research topics of 'Batch size effects on the efficiency of control variates in simulation'. Together they form a unique fingerprint.

Cite this