On control variate estimators

DOI10.1016/0305-0548(87)90024-4zbMath0628.93063OpenAlexW2080849723MaRDI QIDQ1093609

Barry L. Nelson

Publication date: 1987

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0305-0548(87)90024-4

zbMATH Keywords

simulationvariance reductionestimatorsnonlinear control variates

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Survival analysis and censored data (62N99) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (13)

Data-driven low-fidelity models for multi-fidelity Monte Carlo sampling in plasma micro-turbulence analysis ⋮ Time-dependent queueing network approximations as simulation external control variates ⋮ Convergence analysis of multifidelity Monte Carlo estimation ⋮ Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization ⋮ Multifidelity importance sampling ⋮ Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models ⋮ Multifidelity approaches for optimization under uncertainty ⋮ Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates ⋮ Synergistic modeling of call center operations ⋮ Control variates for monte carlo analysis of nonlinear statistical models, II: raw moments and variances ⋮ Optimal Model Management for Multifidelity Monte Carlo Estimation ⋮ Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models ⋮ A Bandit-Learning Approach to Multifidelity Approximation

Cites Work

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• Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables
• Variance Estimation Using Auxiliary Information
• Variance Reduction Techniques for Digital Simulation
• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Networks of Waiting Lines
• Ethical issues in modeling: Some reflections

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