Anthithetic-variate splitting for steady-state simulations (Q1122977)

In order to mitigate the effects of initial conditions it is advisable to discard initial outputs of the realization of given steady-state output process. That is the sample must be very long for precise estimation, and thus expensive. The author supposes a method which includes splitting independent replications at the point of output truncation into dependent replications. This method allows to reduce point estimation variance and/or simulation cost. Numerical examples are given for autoregressive order 1 processes and for GI/I/1 queues with Weibull distributed interarrival and service times.