Using conditional expectation to reduce variance in discrete event simulation

Authors:
S. S. Lavenberg;P. D. Welch
Affiliations:
-;-
Venue:
WSC '79 Proceedings of the 11th conference on Winter simulation - Volume 1
Year:
1979

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Abstract

We review the method of using conditional expectation to reduce variance in discrete event simulation and present a new application to the simulation of queueing networks. This method can be particularly useful in reducing variance when estimating quantities associated with rare events.