Operations Research
Proceedings of the 35th conference on Winter simulation: driving innovation
A new efficient simulation strategy for pricing path-dependent options
Proceedings of the 38th conference on Winter simulation
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Better simulation metamodeling: the why, what, and how of stochastic kriging
Winter Simulation Conference
Control variates for sensitivity estimation
Proceedings of the Winter Simulation Conference
Importance sampling for parametric estimation
Proceedings of the Winter Simulation Conference
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The technique of control variates requires that the user identify a set of variates that are correlated with the estimation variable and whose means are known to the user. We relax the known mean requirement and instead assume the means are to be estimated. We argue that this strategy can be beneficial in parametric studies, analyze the properties of controlled estimators, and propose a class of generic and effective controls in a parametric estimation setting. We discuss the effectiveness of the estimators via analysis and simulation experiments.