Selecting control variates to estimate multiresponse simulation metamodels

DOI10.1016/0377-2217(93)90262-LMaRDI QIDQ1319549zbMATH OpenOpenAlexFDO

Authors Acácio M. O. Porta Nova, James R. Wilson

Publication date 25 October 1994

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

Full work available at URL https://doi.org/10.1016/0377-2217(93)90262-l

zbMATH Keywords

covariance structuresestimation of a multiresponse metamodelinput vector of design variablesoptimal selection of control variatesoptimal set of controlsoutput vector of simulation response variablesvariance reduction techniques

Mathematics Subject Classification ID

Multivariate analysis (62H99) Linear inference, regression (62J99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• A perspective on variance reduction in dynamic simulation experiments
• Control-variate selection criteria
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Estimation of Multiresponse Simulation Metamodels Using Control Variates
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• Monte Carlo, Control Variates, and Stochastic Ordering
• Simulation of stochastic activity networks using path control variates
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Variance Reduction Techniques for Digital Simulation

Cited in

(6)

• Optimal allocation of runs in a simulation metamodel with several independent variables
• Estimation of nonlinear simulation metamodels using control variates
• Control-variate selection criteria
• Estimation of Multiresponse Simulation Metamodels Using Control Variates
• Estimating simulation metamodels using correlated control variates
• Controlling antithetic variates

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