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IIE Transactions Volume 44, 2012 - Issue 5: Operations Engineering & Analysis
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ORIGINAL ARTICLES

Control-variate estimation using estimated control means

Raghu Pasupathy Department of Industrial and Systems Engineering, Virginia Tech, Blacksburg, VA, 24061, USA
,
Bruce W. Schmeiser School of Industrial Engineering, Purdue University, West Lafayette, IN, 47907, USA
,
Michael R. Taaffe Department of Industrial and Systems Engineering, Virginia Tech, Blacksburg, VA, 24061, USA
&
Jin Wang Department of Mathematics and Computer Science, Valdosta State University, Valdosta, GA, 31698, USA
Pages 381-385 | Received 01 May 2011, Accepted 01 Jul 2011, Published online: 02 Mar 2012

References

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  • Law , A. W. and Kelton , W. D. 2000 . Simulation Modeling and Analysis , third edition , New York , NY : McGraw-Hill .
  • Nelson , B. L. 1989 . Batch size effects on the efficiency of control variates in simulation . European Journal of Operational Research , 43 : 184 – 196 .
  • Nelson , B. L. 1990 . Control variate remedies . Operations Research , 38 : 974 – 992 .
  • Nelson , B. L. and Schmeiser , B. W. 1986 . Decomposition of some well-known variance reduction techniques . Journal of Statistical Computation and Simulation , 4 : 27 – 46 .
  • Schmeiser , B. W. , Taaffe , M. R. and Wang , J. 2001 . Biased control-variate estimation . IIE Transactions , 33 : 219 – 228 .
  • Swain , J. J. and Schmeiser , B. W. 1989 . Control variates for Monte Carlo analysis of nonlinear statistical models, I: overview . Communications in Statistics: B-Simulation and Computation , 18 ( 3 ) : 1011 – 1036 .
  • Wilson , J. 1984 . Variance reduction techniques for digital simulation . American Journal of Mathematical and Management Sciences , 4 : 277 – 312 .

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