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Variance reduction in queueing simulation using generalized concomitant variables. (English) Zbl 0569.65100

The paper describes robust asymptotically stable variance reduction techniques for simulation based estimators of regenerative queuing system parameters. The proposed procedures are based on the use of concomitant variables associated with the sampled inputs during the simulation. Each procedure is adapted to estimation methods based on replication analysis and regenerative analysis.
Reviewer: A.Varga

MSC:

65C99 Probabilistic methods, stochastic differential equations
65C05 Monte Carlo methods
90B22 Queues and service in operations research
62H12 Estimation in multivariate analysis
62M05 Markov processes: estimation; hidden Markov models
60K25 Queueing theory (aspects of probability theory)
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