A splitting scheme for control variates

Authors:
Athanassios N. Avramidis;James R. Wilson
Affiliations:
American Airlines Decision Technologies, Dallas / Fort Worth Airport, TX, 75261, USA;North Carolina State University, Raleigh, NC, 27695, USA
Venue:
Operations Research Letters
Year:
1993

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Abstract

This paper details a new control-variate splitting scheme yielding an unbiased estimator of the mean response and an unbiased estimator of the variance of the first estimator. This scheme also yields an asymptotically exact confidence interval for the mean response. We present analytical and empirical performance comparisons of this scheme versus other control-variate procedures.