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This paper provides a unified development of the method of control variates for simulation experiments in which the objective is estimation of a multiresponse metamodel—that is, a linear model for an output vector of simulation performance measures expressed in terms of an input vector of...
In this paper, we introduce the Partial Conditional Expectation (PCE) variance reduction technique, derived by modifying the well-known Conditional Expectation (CE) technique to make it more widely applicable. We apply this PCE technique to obtain a consistent estimator for the expected waiting...
Importance sampling is one of the classical variance reduction techniques for increasing the efficiency of Monte Carlo algorithms for estimating integrals. The basic idea is to replace the original random mechanism in the simulation by a new one and at the same time modify the function being...
We numerically estimate, via simulation, the expected infinite-horizon discounted cost d of running a stochastic system. A naive strategy estimates a finite-horizon approximation to d . We propose alternatives. All are ranked with respect to asymptotic variance as a function of computer-time...
Simple heuristic formulas are developed to estimate the simulation run lengths required to achieve desired statistical precision in queueing simulations. The formulas are intended to help in the early planning stages before any data have been collected. The queueing simulations considered are...
A problem posed by O. L. Deutsch (Deutsch, O. L. 1988. Artificial intelligence design challenge—Background, analysis, and relative performance of algorithms. J. Guidance, Control, and Dynamics 11 386–393.) as the Artificial Intelligence Design Challenge for the 1987 American Institute of...
Stratified sampling is perhaps the most natural of the variance reduction techniques. However its use is often frustrated by the high dimensionality of the sample space. This paper investigates the difficulty and suggests a basic sampling scheme for use in such problems. The accuracy of...
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