NDLI: Control variates for stochastic network simulation

Content Provider	IEEE Xplore Digital Library
Author	Avramidis, T.N. Wilson, J.R.
Copyright Year	1990
Description	Author affiliation: Sch. of Ind. Eng., Purdue Univ., West Lafayette, IN, USA (Avramidis, T.N.; Wilson, J.R.)
Abstract	Examines procedures for using path control variates to improve the accuracy of simulation-based point and confidence-interval estimators of the mean completion time of a stochastic activity networks (SAN). Because each path control variate is the duration of the corresponding directed path in the network from the source to the sink, the vector of selected path controls has a known mean and a known covariance matrix. This information is incorporated into control-variate estimation procedures that do not require normally distributed responses. The simulation-generated observations are split into three groups, and control-variate procedures, applied within each group, are combined in such a way that the overall point estimator and the associated variance estimator are always unbiased. The performance of these procedures is evaluated experimentally. In comparison to standard linear control-variate procedures, the proposed procedures can yield substantial improvements in point-estimator accuracy and confidence-interval coverage while achieving almost the same magnitude of variance reduction.
Starting Page	323
Ending Page	332
File Size	645760
Page Count	10
File Format	PDF
ISBN	0911801723
DOI	10.1109/WSC.1990.129535
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1990-12-09
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stochastic processes Storage area networks Computational modeling Yield estimation Sampling methods Industrial engineering Covariance matrix Mean square error methods Large-scale systems Job shop scheduling
Content Type	Text
Resource Type	Article

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