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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), pp. 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

Identifiers

Local EPrints ID: 337185
URI: http://eprints.soton.ac.uk/id/eprint/337185
ISSN: 0167-6377
PURE UUID: 9f103ea6-658d-460d-93a3-6be622ce495d

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Date deposited: 27 Apr 2012 13:27
Last modified: 18 Jul 2017 06:04

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Contributors

Author: James R. Wilson

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