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APPLYING VARIANCE REDUCTION IDEAS IN QUEUING SIMULATIONS

Published online by Cambridge University Press:  11 January 2002

Sheldon M. Ross  and
Kyle Y. Lin
Sheldon M. Ross
Affiliation:
Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720, E-mail: [email protected]
Kyle Y. Lin
Affiliation:
Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720, E-mail: [email protected]
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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.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 15 , Issue 4 , October 2001 , pp. 481 - 494
Copyright
© 2001 Cambridge University Press

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