A cross-estimation technique for using control variables in stochastic simulations

DOI10.1016/0377-2217(89)90428-1MaRDI QIDQ1120938zbMATH OpenOpenAlexFDO

Authors E. M. L. Beale, Robert Ashford

Publication date 1989

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(89)90428-1

zbMATH Keywords

variance reductioncontrol variablescross-estimationefficiency of stochastic simulations

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems
• Detection of Influential Observation in Linear Regression
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• Efficient Computing of Regression Diagnostics
• Ethical issues in modeling: Some reflections
• Regression Estimation in Simulation
• SOME THEOREMS IN LEAST SQUARES
• Statistical Results on Control Variables with Application to Queueing Network Simulation

Cited in

(2)

• Using martingales to make stochastic simulations more precise
• Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation

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