Non-linear control variates for regenerative steady-state simulation

We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in the Markov-process setting, discuss the optimization problem of searching for a good choice of parameterization, and develop a strong law and central limit theorem for the resulting estimator.

• Type: Conference
• Year: 2007
• Where: WSC
• Authors: Sujin Kim, Shane G. Henderson
• Keywords: Control Variates, Modeling And Simulation, Parameterized Family, Regenerative Steady-state Simulation, WSC 2007