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
Digital Object Identifier (DOI): doi:10.1016/0167-6377(93)90069-S
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
ePrint ID: 337185
Accepted Date and Publication Date:
Status
November 1993UNSPECIFIED
Date Deposited: 27 Apr 2012 13:27
Last Modified: 31 Mar 2016 14:26
URI: http://eprints.soton.ac.uk/id/eprint/337185

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