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).

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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)
Keywords: control variates, simulation experiments, splitting, variance reduction techniques
Subjects:
Organisations: Mathematical Sciences
ePrint ID: 337185
Date :
Date Event
November 1993Published
Date Deposited: 27 Apr 2012 13:27
Last Modified: 17 Apr 2017 17:18
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/337185

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