Correlation-inducing variance reduction in regenerative simulation

Authors:
Neng-Hui Shih;Wheyming Tina Song
Affiliations:
Department of Industrial Engineering, National Tsing Hua University, Hsinchu, Taiwan, 30043, ROC;Department of Industrial Engineering, National Tsing Hua University, Hsinchu, Taiwan, 30043, ROC
Venue:
Operations Research Letters
Year:
1996

Citing 6
Cited 0

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Abstract

This paper proposes a variance reduction technique that can be applied to regenerative simulations. The proposed technique induces correlation between consecutive nonoverlapping pairs of regenerations. Under some mild assumptions, we show analytically that the proposed technique is superior to conventional techniques in the sense that they use independent random numbers between regenerations. We provide two examples to illustrate that the variance reduction is significant.