Non-linear control variates for regenerative steady-state simulation. Kim, S. & Henderson, S. G. In Henderson, S. G., Biller, B., Hsieh, M., Shortle, J., Tew, J. D., & Barton, R. R., editors, Proceedings of the 2007 Winter Simulation Conference, pages 430–438, Piscataway, New Jersey, 2007. IEEE.
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Paper abstract bibtex
Paper abstract bibtex We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in the Markov-process setting, discuss the optimization problem of searching for a good choice of parameterization, and develop a strong law and central limit theorem for the resulting estimator.
@inproceedings{kimhen07b,
abstract = {We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in the Markov-process setting, discuss the optimization problem of searching for a good choice of parameterization, and develop a strong law and central limit theorem for the resulting estimator.},
address = {Piscataway, New Jersey},
author = {Sujin Kim and Shane G. Henderson},
booktitle = {Proceedings of the 2007 Winter Simulation Conference},
date-added = {2016-01-10 16:07:54 +0000},
date-modified = {2016-01-10 17:58:10 +0000},
editor = {S. G. Henderson and B. Biller and M.-H. Hsieh and J. Shortle and J. D. Tew and R. R. Barton},
pages = {430--438},
publisher = {IEEE},
title = {Non-linear control variates for regenerative steady-state simulation},
url_paper = {pubs/hendersons66121i.pdf},
year = {2007}}Downloads: 0
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