Operations Research
Estimation procedures based on control variates with known covariance matrix
WSC '87 Proceedings of the 19th conference on Winter simulation
Simulation Modeling and Analysis
Simulation Modeling and Analysis
Constrained Monte Carlo and the method of control variates
Proceedings of the 33nd conference on Winter simulation
Stochastic gradient estimation using a single design point
Proceedings of the 38th conference on Winter simulation
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We investigate the conception that the sample variance of the control variate (CV) should be used for estimating the optimal linear CV weight, even when the CV variance is known. A mixed estimator, which uses an estimate of the correlation of the performance measure (Y) and the control (X) is evaluated. Results indicate that the mixed estimator has most potential benefit when no information on the correlation of X and Y is available, especially when sample sizes are small. This work is presented in terms of CV for familiarity, but its primary application is in derivative estimation. In this context, unlike CV, X and Y are not assumed to be correlated.