Standardized routing variables: a new class of control variates

Abstract

The method of control variates is a popular variance reduction technique in the analysis of discreteevent simulation experiments. This paper introduces a new class of control variates based on multinomial constructs which are typical building blocks found in many discrete-event simulation models. Recent work in the area of standardized control variates is reviewed and a new class of controls called “standardized routing variables” is introduced. The theoretical properties of the controls are shown and their potential for use in variance reduction is demonstrated in a simple simulation model.

Keywords:

• Variance reduction techniques
• analysis of simulation experiments
• control variates