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The efficiency of control variates in multiresponse simulation

Authors:

Sekhar Venkatraman,

James R. WilsonAuthors Info & Claims

Operations Research Letters, Volume 5, Issue 1

Pages 37 - 42

https://doi.org/10.1016/0167-6377(86)90098-2

Published: 01 June 1986 Publication History

Abstract

When control variates are applied to a simulation with multiple responses some of the potential effeciency improvement is lost if the optimal control coefficients must be estimated. To quantify this phenomenon, we formulate a variance ratio and a loss factor that are substantially simpler than the corresponding efficiency measures developed recently by Rubinstein and Marcus [12].

References

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Anderson, T.W., An Introduction to Multivariate Statistical Analysis. 1984. 2nd ed. Wiley, New York.

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Cheng, R.C.H., Analysis of simulation experiments under normality assumptions. J. Oper. Res. Soc. v29. 493-497.

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Grant, F.H. and Solberg, J.J., Variance reduction techniques in stochastic shortest route analysis: Application procedures and results. Math. Comput. Simulation. vXXV. 366-375.

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Kshirsagar, A.M., Multivariate Analysis. 1972. Dekker, New York.

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Lavenberg, S.S. and Welch, P.D., A perspective on the use of control variables to increase the efficiency of Monte Carlo simulations. Management Sci. v27. 322-335.

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Lavenberg, S.S., Moeller, T.L. and Welch, P.D., Statistical results on multiple control variables with application to variance reduction in queueing network simulation. In: IBM Research Report RC 7423,

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Lavenberg, S.S., Moeller, T.L. and Welch, P.D., Statistical results on control variables with application to queueing network simulation. Oper. Res. v30. 182-202.

Digital Library

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Mood, A.M., Graybill, F.A. and Boes, D.C., Introduction to the Theory of Statistics. 1974. 3rd ed. McGraw-Hill, New York.

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Nozari, A., Arnold, S.F. and Pegden, C.D., Control variates for multipopulation simulation experiments. IIE Trans. v16. 159-169.

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Porta Nova, A.M., A generalized approach to variance reduction in discrete-event simulation using control variables. In: Ph.D. Dissertation, Department of Mechanical Engineering, The University of Texas, Austin, TX.

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Rao, C.R., Least squares theory using an estimated dispersion matrix and its application to measurement of signals. In: Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability, Vol. I. University of California Press, Berkeley, CA. pp. 355-372.

[12]

Rubinstein, R.Y. and Marcus, R., Efficiency of multivariate control variates in Monte Carlo simulation. Oper. Res. v33. 661-677.

Digital Library

[13]

Venkatraman, S. and Wilson, J.R., Using path control variables in activity network simulation. In: Gantz, D., Blais, G., Solomon, S. (Eds.), Proceedings of the 1985 Winter Simulation Conference, Institute of Electrical and Electronics Engineers, Piscataway, NJ. pp. 217-222.

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Wilson, J.R. and Pritsker, A.A.B., Variance reduction in queueing simulation using generalized concomitant variables. J. Statist. Comput. Simulation. v19. 129-253.

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Wilson, J.R. and Pritsker, A.A.B., Experimental evaluation of variance reduction techniques for queueing simulations using generalized concomitant variables. Management Sci. v30. 1459-1472.

Cited By

Kondapaneni IVevoda PGrittmann PSkřivan TSlusallek PKřivánek J(2019)Optimal multiple importance samplingACM Transactions on Graphics10.1145/3306346.332300938:4(1-14)Online publication date: 12-Jul-2019
https://dl.acm.org/doi/10.1145/3306346.3323009
Yang WLiou W(1996)Combining antithetic variates and control variates in simulation experimentsACM Transactions on Modeling and Computer Simulation10.1145/240896.2408996:4(243-260)Online publication date: 1-Oct-1996
https://dl.acm.org/doi/10.1145/240896.240899
Yang WNelson B(1992)Multivariate Batch Means and Control VariatesManagement Science10.5555/2912955.291295838:10(1415-1431)Online publication date: 1-Oct-1992
https://dl.acm.org/doi/10.5555/2912955.2912958
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The efficiency of control variates in multiresponse simulation
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Published In

cover image Operations Research Letters

Operations Research Letters Volume 5, Issue 1

June, 1986

50 pages

ISSN:0167-6377

Issue’s Table of Contents

Copyright © © 1986.

Publisher

Elsevier Science Publishers B. V.

Netherlands

Publication History

Published: 01 June 1986

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Cited By

Kondapaneni IVevoda PGrittmann PSkřivan TSlusallek PKřivánek J(2019)Optimal multiple importance samplingACM Transactions on Graphics10.1145/3306346.332300938:4(1-14)Online publication date: 12-Jul-2019
https://dl.acm.org/doi/10.1145/3306346.3323009
Yang WLiou W(1996)Combining antithetic variates and control variates in simulation experimentsACM Transactions on Modeling and Computer Simulation10.1145/240896.2408996:4(243-260)Online publication date: 1-Oct-1996
https://dl.acm.org/doi/10.1145/240896.240899
Yang WNelson B(1992)Multivariate Batch Means and Control VariatesManagement Science10.5555/2912955.291295838:10(1415-1431)Online publication date: 1-Oct-1992
https://dl.acm.org/doi/10.5555/2912955.2912958
Cheng RSadowski RNance R(1990)Fitting parametric models by conditional simulationProceedings of the 22nd conference on Winter simulation10.5555/328885.328993(333-336)Online publication date: 1-Dec-1990
https://dl.acm.org/doi/10.5555/328885.328993
Nelson B(1990)Control Variate RemediesOperations Research10.5555/2774852.277485838:6(974-992)Online publication date: 1-Dec-1990
https://dl.acm.org/doi/10.5555/2774852.2774858
De O. Porta Nova AWilson J(1989)Estimation of Multiresponse Simulation Metamodels Using Control VariatesManagement Science10.5555/3217764.321776735:11(1316-1333)Online publication date: 1-Nov-1989
https://dl.acm.org/doi/10.5555/3217764.3217767
Swain J(1989)Augmenting linear control variates using transformationsProceedings of the 21st conference on Winter simulation10.1145/76738.76796(455-458)Online publication date: 1-Oct-1989
https://dl.acm.org/doi/10.1145/76738.76796
Bauer KVenkatraman SWilson J(1987)Estimation procedures based on control variates with known covariance matrixProceedings of the 19th conference on Winter simulation10.1145/318371.318599(334-341)Online publication date: 1-Dec-1987
https://dl.acm.org/doi/10.1145/318371.318599
Nelson B(1987)Variance reduction for simulation practitionersProceedings of the 19th conference on Winter simulation10.1145/318371.318382(43-51)Online publication date: 1-Dec-1987
https://dl.acm.org/doi/10.1145/318371.318382

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