Time-dependent queueing network approximations as simulation external control variates. (English) Zbl 0815.90075

Schmeiser, Bruce W.; Taaffe, Michael R.

Oper. Res. Lett. 16, No. 1, 1-9 (1994).

Summary: A strategy for efficient evaluation of a complex stochastic model’s performance is to use a simpler model’s known performance as an approximation. Another strategy is to simulate using the simpler model’s known performance as an external control variate. We combine these two strategies. We also relax the assumption that the simpler model’s performance is known exactly by introducing mean-squared-error optimal control variates.

MSC:

90B22	Queues and service in operations research
60K25	Queueing theory (aspects of probability theory)

Keywords:

variance reduction; time-dependent queues; queueing approximation; hybrid simulation; mean-squared-error optimal control variates

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