Replication splitting and variance for simulating discrete-parameter stochastic processes

DOI10.1016/0167-6377(86)90028-3MaRDI QIDQ1077326zbMATH OpenOpenAlexFDO

Authors W. David Kelton

Publication date 1986

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2027.42/26214

zbMATH Keywords

variance reductionbudget constraintallocation of a fixed amount of simulation effortnon-stationary discrete-time processespositive autocorrelationreplication splitting

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic systems in control theory (general) (93E03) Operations research and management science (90B99)

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Cites work

• An Analytical Evaluation of Alternative Strategies in Steady-State Simulation
• Bias Considerations in Simulation Experiments
• Toward guidelines for designing experiments in queuing simulation

Cited in

(4)

• Some properties of simulation interval estimators under dependence induction
• Anthithetic-variate splitting for steady-state simulations
• Stochastic kriging with biased sample estimates
• Choosing sample path length and number of sample paths when starting in steady state

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