×
Wilson, James R.; Pritsker, A. Alan B.

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

J. Stat. Comput. Simulation 19, 129-153 (1984).
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

Cited in 7 Documents

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)

Keywords:

control variates; poststratified sampling; queueing networks; simulation; variance reduction; parameter estimation; Markov processes
PDF BibTeX XML Cite
\textit{J. R. Wilson} and \textit{A. A. B. Pritsker}, J. Stat. Comput. Simulation 19, 129--153 (1984; Zbl 0569.65100)
Full Text: DOI

References:

[1] Beja A., In:Advances in Operations Research (1969)
[2] Cheng R.C.H., Journal of the Operational Research Society 29 pp 493– (1978)
[3] Chung K.L., A Course in Probability Theory (1974)
[4] Cochran W.G., Sampling Techniques (1977) · Zbl 0353.62011
[5] Crane M.A., An Introduction to the Regenerative Methodfor Simulation Analysis (1977) · Zbl 0369.68052
[6] Dalenias T., Skandinaoisk Aktuarietidskrift 34 pp 133– (1951)
[7] Fishman G.S., Principles of Discrete Event Simulation (1978) · Zbl 0537.68104
[8] Hammersley J.M., Monte Carlo Methods (1964) · Zbl 0121.35503
[9] Heyman D.P., Stochastic Processes and Operating Characteristics (1982) · Zbl 0503.90031
[10] Iglehart D.L., In: CurrentTrends in Programming Methodology Software Engineering (1978)
[11] Iglehart D.L., Journal of the ACM 26 pp 271– (1979) · Zbl 0395.68084
[12] Kleijnen J.P.C., Statistical Techniques in Simulation (1974) · Zbl 0316.65002
[13] Lavenberg S.S., Operations Research 27 pp 134– (1979) · Zbl 0398.93057
[14] Lavenberg S.S., Operations Research 30 pp 182– (1982) · Zbl 0481.90024
[15] Lavenberg S.S., Management Science 30 (1981)
[16] Morrison D.F., Multivariate Statistical Methods (1976) · Zbl 0355.62049
[17] Moy W.A., The Design of ComputerSimulation Experiments (1969)
[18] Rao C. R., Linear Statistical Inference and Its Applications (1973) · Zbl 0256.62002
[19] Sethi V.K., Australian Journal of Statistics 5 pp 20– (1963) · Zbl 0113.13705
[20] Welch B.L., Biometrika 34 pp 28– (1947)
[21] Wilson J.R., Technical Report, Mechanical Engineering Department,University of Texas (1982)
[22] Wilson J.R., Management Science (1984)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.