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A splitting scheme for control variates

A splitting scheme for control variates
A splitting scheme for control variates
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.
control variates, simulation experiments, splitting, variance reduction techniques
0167-6377
187-198
Avramidis, Athanassios N.
d6c4b6b6-c0cf-4ed1-bbe1-a539937e4001
Wilson, James R.
938b5976-c9c4-42a5-8ec9-4b36266347bb
Avramidis, Athanassios N.
d6c4b6b6-c0cf-4ed1-bbe1-a539937e4001
Wilson, James R.
938b5976-c9c4-42a5-8ec9-4b36266347bb

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).

Record type: Article

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.

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Published date: November 1993
Keywords: control variates, simulation experiments, splitting, variance reduction techniques
Organisations: Mathematical Sciences
Learn more about Mathematical Sciences research

Identifiers

Local EPrints ID: 337185
URI: http://eprints.soton.ac.uk/id/eprint/337185
DOI: doi:10.1016/0167-6377(93)90069-S
ISSN: 0167-6377
PURE UUID: 9f103ea6-658d-460d-93a3-6be622ce495d
ORCID for Athanassios N. Avramidis: ORCID iD orcid.org/0000-0001-9310-8894

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Date deposited: 27 Apr 2012 13:27
Last modified: 15 Mar 2024 03:29

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Contributors

Author: Athanassios N. Avramidis ORCID iD
Author: James R. Wilson

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