Applying variance reduction ideas in queuing simulations

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TR Number

Date

2001

Journal Title

Journal ISSN

Volume Title

Publisher

Cambridge University Press

Abstract

Variance reduction techniques are often underused in simulation studies. In this article, we indicate how certain ones can be efficiently employed when analyzing queuing models. The first technique considered is that of dynamic stratified sampling; the second is the utilization of multiple control variates; the third concerns the replacement of random variables by their conditional expectations when trying to estimate the expected value of a sum of random variables.

Description

Keywords

Generalized concomitant variables, Monte-carlo, Engineering, industrial, Operations research & management science, Statistics & probability

Citation

Sheldon M. Ross and Kyle Y. Lin (2001). APPLYING VARIANCE REDUCTION IDEAS IN QUEUING SIMULATIONS. Probability in the Engineering and Informational Sciences, 15, pp 481-494. http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=92867&fulltextType=RA&fileId=S0269964801154045