Applying variance reduction ideas in queuing simulations
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Date
2001
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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.
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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