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Multivariate Batch Means and Control Variates

Authors:

Wei-Ning Yang,

Barry L. NelsonAuthors Info & Claims

Management Science, Volume 38, Issue 10

Pages 1415 - 1431

Published: 01 October 1992 Publication History

Abstract

We consider applying the nonoverlapping batch means output analysis method in conjunction with the control-variate variance-reduction technique to estimate a steady-state multivariate mean vector. The effects of the number of batches and the number of control variates on the multivariate point and region estimators and the univariate point and interval estimators are considered. The results are experiment analysis guidelines in terms of an appropriate range of the number of batches to choose as a function of the number of responses and control variates. The results have implications for terminating simulations as well.

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Cited By

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Ravner LSnitkovsky R(2024)Stochastic Approximation of Symmetric Nash Equilibria in Queueing GamesOperations Research10.1287/opre.2021.030672:6(2698-2725)Online publication date: 1-Nov-2024
https://dl.acm.org/doi/10.1287/opre.2021.0306
Zhu YDong J(2021)On constructing confidence region for model parameters in stochastic gradient descent via batch meansProceedings of the Winter Simulation Conference10.5555/3522802.3522822(1-12)Online publication date: 13-Dec-2021
https://dl.acm.org/doi/10.5555/3522802.3522822
Nelson B(2011)Thirty years of "batch size effects"Proceedings of the Winter Simulation Conference10.5555/2431518.2431561(393-400)Online publication date: 11-Dec-2011
https://dl.acm.org/doi/10.5555/2431518.2431561
Show More Cited By

Index Terms

Multivariate Batch Means and Control Variates
1. Computing methodologies
  1. Modeling and simulation
2. Mathematics of computing
  1. Probability and statistics
    1. Statistical paradigms
      1. Statistical graphics

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Management Science Volume 38, Issue 10

October 1992

153 pages

ISSN:0025-1909

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INFORMS

Linthicum, MD, United States

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Published: 01 October 1992

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Ravner LSnitkovsky R(2024)Stochastic Approximation of Symmetric Nash Equilibria in Queueing GamesOperations Research10.1287/opre.2021.030672:6(2698-2725)Online publication date: 1-Nov-2024
https://dl.acm.org/doi/10.1287/opre.2021.0306
Zhu YDong J(2021)On constructing confidence region for model parameters in stochastic gradient descent via batch meansProceedings of the Winter Simulation Conference10.5555/3522802.3522822(1-12)Online publication date: 13-Dec-2021
https://dl.acm.org/doi/10.5555/3522802.3522822
Nelson B(2011)Thirty years of "batch size effects"Proceedings of the Winter Simulation Conference10.5555/2431518.2431561(393-400)Online publication date: 11-Dec-2011
https://dl.acm.org/doi/10.5555/2431518.2431561
Charnes JLilegdon WGoldsman D(1995)Analyzing multivariate outputProceedings of the 27th conference on Winter simulation10.1145/224401.224463(201-208)Online publication date: 1-Dec-1995
https://dl.acm.org/doi/10.1145/224401.224463
Charnes JKelton W(1993)Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean VectorManagement Science10.5555/2806911.280691839:9(1112-1129)Online publication date: 1-Sep-1993
https://dl.acm.org/doi/10.5555/2806911.2806918

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Combining antithetic variates and control variates in simulation experiments

Control Variates for Probability and Quantile Estimation

Control Variates for Quantile Estimation

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