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Estimation procedures based on control variates with known covariance matrix

Authors:

Kenneth W. Bauer, Jr.,

Sekhar Venkatraman,

James R. WilsonAuthors Info & Claims

WSC '87: Proceedings of the 19th conference on Winter simulation

Pages 334 - 341

https://doi.org/10.1145/318371.318599

Published: 01 December 1987 Publication History

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Abstract

This paper describes a new procedure for using control variates in multiresponse simulation when the covariance matrix of the controls is known. Assuming that the responses and the controls are jointly normal, we develop a new unbiased control-variates point estimator for the mean simulation response. We also compute the covariance matrix of this point estimator in order to construct an approximate confidence-region estimator for the mean response. If the covariances between the responses and the controls are unknown so that the optimal control coefficients must be estimated, then some of the potential efficiency improvement is lost. This loss is quantified in a new variance ratio. We summarize the results of an extensive experimental study in which we apply the proposed estimation procedure to closed queueing networks and stochastic activity networks.

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Cited By

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Wieland JSchmeiser BTew J(2007)Derivative estimation with known control-variate variancesProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351651(560-567)Online publication date: 9-Dec-2007
https://dl.acm.org/doi/10.5555/1351542.1351651
Wieland JSchmeiser B(2007)Derivative estimation with known control-variate variances2007 Winter Simulation Conference10.1109/WSC.2007.4419648(560-567)Online publication date: Dec-2007
https://doi.org/10.1109/WSC.2007.4419648
Bauer KWilson J(1993)Standardized routing variables: a new class of control variatesJournal of Statistical Computation and Simulation10.1080/0094965930881149346:1-2(69-78)Online publication date: Apr-1993
https://doi.org/10.1080/00949659308811493
Show More Cited By

Index Terms

Estimation procedures based on control variates with known covariance matrix
1. Computing methodologies
  1. Artificial intelligence
    1. Control methods
      1. Computational control theory
  2. Modeling and simulation
2. Mathematics of computing
  1. Probability and statistics

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Information

Published In

WSC '87: Proceedings of the 19th conference on Winter simulation

December 1987

963 pages

ISBN:0911801324

DOI:10.1145/318371

Editors:
Arne Thesen
Univ. of Wisconsin-Madison
,
Hank Grant
FACTROL, Inc.
,
W. David Kelton
Univ. of Minnesota

Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 01 December 1987

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Cited By

View all

Wieland JSchmeiser BTew J(2007)Derivative estimation with known control-variate variancesProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351651(560-567)Online publication date: 9-Dec-2007
https://dl.acm.org/doi/10.5555/1351542.1351651
Wieland JSchmeiser B(2007)Derivative estimation with known control-variate variances2007 Winter Simulation Conference10.1109/WSC.2007.4419648(560-567)Online publication date: Dec-2007
https://doi.org/10.1109/WSC.2007.4419648
Bauer KWilson J(1993)Standardized routing variables: a new class of control variatesJournal of Statistical Computation and Simulation10.1080/0094965930881149346:1-2(69-78)Online publication date: Apr-1993
https://doi.org/10.1080/00949659308811493
Avramidis TWilson JSadowski RNance R(1990)Control variates for stochastic network simulationProceedings of the 22nd conference on Winter simulation10.5555/328885.328992(323-332)Online publication date: 1-Dec-1990
https://dl.acm.org/doi/10.5555/328885.328992
Avramidis TWilson J(1990)Control variates for stochastic network simulation1990 Winter Simulation Conference Proceedings10.1109/WSC.1990.129535(323-332)Online publication date: 1990
https://doi.org/10.1109/WSC.1990.129535
Glynn PIglehart D(1988)Simulation methods for queues: an overviewQueueing Systems: Theory and Applications10.1007/BF011612163:3(221-255)Online publication date: 1-Jul-1988
https://dl.acm.org/doi/10.1007/BF01161216
Wilson J(1987)Future directions in response surface methodology for simulationProceedings of the 19th conference on Winter simulation10.1145/318371.318615(378-381)Online publication date: 1-Dec-1987
https://dl.acm.org/doi/10.1145/318371.318615

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Covariance shaping least-squares estimation

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