APPLYING VARIANCE REDUCTION IDEAS IN QUEUING SIMULATIONS

Authors:
Sheldon M. Ross;Kyle Y. Lin
Affiliations:
Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720, E-mail: ross@ieor.berkeley.edu;Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720, E-mail: ross@ieor.berkeley.edu
Venue:
Probability in the Engineering and Informational Sciences
Year:
2001

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Abstract

Variance reduction techniques are often underused in simulation studies. In this article, we indicate how certain ones can be efficiently employed when analyzing queuing models. The first technique considered is that of dynamic stratified sampling; the second is the utilization of multiple control variates; the third concerns the replacement of random variables by their conditional expectations when trying to estimate the expected value of a sum of random variables.