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.

引用

页码：409 / +

页数：3

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