Adaptive simulation using perfect control variates

DOI10.1239/JAP/1091543430MaRDI QIDQ4668005zbMATH OpenOpenAlexFDO

Authors Shane G. Henderson, Burton Simon

Publication date 18 April 2005

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1091543430

zbMATH Keywords

adaptive Monte Carlo methodapproximating martingalesefficiency improvementestimationMarkov chainsperfect control variatesperformance measuresstochastic systemsvariance reduction

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• ACCELERATED MONTE CARLO FOR PARTICLE DISPERSION
• Accelerating convergence in stochastic particle dispersion simulation codes
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• Approximating Martingales for Variance Reduction in Markov Process Simulation
• Exponential convergence of adaptive importance sampling for Markov chains
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
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• scientific article; zbMATH DE number 44889 (Why is no real title available?)
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• Performance analysis conditioned on rare events: an adaptive simulation scheme
• Performance evaluation and policy selection in multiclass networks
• The cross-entropy method for combinatorial and continuous optimization

Cited in

(7)

• Using martingales to make stochastic simulations more precise
• Time-dependent queueing network approximations as simulation external control variates
• Variance reduction for additive functionals of Markov chains via martingale representations
• Stein's method meets computational statistics: a review of some recent developments
• IMPROVING SIMULATION EFFICIENCY WITH QUASI CONTROL VARIATES
• Adaptive Control Variates for Finite-Horizon Simulation
• Batching Adaptive Variance Reduction

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