Non-linear control variates for regenerative steady-state simulation

被引：0
|
作者：
Kim, Sujin [1 ]
Henderson, Shane G. [2 ]
机构：
[1] Purdue Univ, Sch Ind Engn, 315 North Grant St, W Lafayette, IN 47907 USA
[2] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14853 USA
来源：
PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5 | 2007年
关键词：
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in the Markov-process setting, discuss the optimization problem of searching for a good choice of parameterization, and develop a strong law and central limit theorem for the resulting estimator.
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页码：409 / +
页数：3
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