Variance reduction in queueing simulation using generalized concomitant variables
DOI10.1080/00949658408810723zbMATH Open0569.65100OpenAlexW2021501622MaRDI QIDQ3686007FDOQ3686007
Authors: James R. Wilson, A. Alan B. Pritsker 
Publication date: 1984
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949658408810723
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parameter estimationsimulationcontrol variatesvariance reductionMarkov processesqueueing networkspoststratified sampling
Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Estimation in multivariate analysis (62H12) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)
Cites Work
- Linear Statistical Inference and its Applications
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- An introduction to the regenerative method for simulation analysis
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- Statistical Results on Control Variables with Application to Queueing Network Simulation
- A NOTE ON OPTIMUM STRATIFICATION OF POPULATIONS FOR ESTIMATING THE POPULATION MEANS
- Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems
- Regenerative Simulation with Internal Controls
Cited In (19)
- A simple variance reduction method with applications to finance and queueing theory
- Applying variance reduction ideas in queuing simulations
- Control-variate methods for comparison with a standard
- Improved point and confidence interval estimators of mean response in simulation when control variates are used
- Variance Reduction Techniques for Digital Simulation
- A perspective on variance reduction in dynamic simulation experiments
- Estimating simulation metamodels using correlated control variates
- A Variant of the Conditional Expectation Variance Reduction Technique and Its Application to the Simulation of the GI/G/1 Queues
- Variance Reduction in Simulations of Loss Models
- Standardized routing variables: a new class of control variates
- Approximating class-departure variability in tandem queues with downtime events: regression-based variability function
- Opportunities of robust regression for variance reduction in discrete event simulation
- Variance reduction for sensitivity estimates obtained from regenerative simulation
- The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
- Simulating Average Delay–Variance Reduction by Conditioning
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- Approximating Martingales for Variance Reduction in Markov Process Simulation
- Simulation methodology - an introduction for queueing theorists
- Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables
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