Non-linear control variates for regenerative steady-state simulation

Authors:
Sujin Kim;Shane G. Henderson
Affiliations:
Purdue University, West Lafayette, IN;Cornell University, Ithaca, N.Y.
Venue:
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Year:
2007

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Abstract

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.