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2007

Non-linear control variates for regenerative steady-state simulation

14 years 2 months ago
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.
Sujin Kim, Shane G. Henderson
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Sujin Kim, Shane G. Henderson
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