A splitting scheme for control variates
Avramidis, Athanassios N. and Wilson, James R. (1993) A splitting scheme for control variates. Operations Research Letters, 14, (4), 187-198. (doi:10.1016/0167-6377(93)90069-S).
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Description/Abstract
This paper details a new control-variate splitting scheme yielding an unbiased estimator of the mean response and an unbiased estimator of the variance of the first estimator. This scheme also yields an asymptotically exact confidence interval for the mean response. We present analytical and empirical performance comparisons of this scheme versus other control-variate procedures.
| Item Type: | Article |
|---|---|
| ISSNs: | 0167-6377 (print) 1872-7468 (electronic) |
| Keywords: | control variates, simulation experiments, splitting, variance reduction techniques |
| Subjects: | Q Science > QA Mathematics T Technology > T Technology (General) |
| Divisions: | Faculty of Social and Human Sciences > Mathematical Sciences |
| Item ID: | 337185 |
| Date Deposited: | 27 Apr 2012 13:27 |
| Last Modified: | 26 Apr 2013 05:42 |
| Contributors: | Avramidis, Athanassios N. (Author) Wilson, James R. (Author) |
| Date: | November 1993 |
| Status: | Unpublished |
| URI: | http://eprints.soton.ac.uk/id/eprint/337185 |
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