We introduce adaptive-simulation schemes for estimating performance measures for stochastic systems based on the method of control variates. We consider several possible methods for adaptively tuning the control-variate estimators, and describe their asymptotic properties. Under certain assumptions, including the existence of a ‘perfect control variate’, all of the estimators considered converge faster than the canonical rate of n
−1/2, where n is the simulation run length. Perfect control variates for a variety of stochastic processes can be constructed from ‘approximating martingales’. We prove a central limit theorem for an adaptive estimator that converges at rate A similar estimator converges at rate n
−1. An exponential rate of convergence is also possible under suitable conditions.