Regenerative Simulation with Internal Controls.

Abstract

A new variance reduction technique is introduced called internal control variables, to be used in the context of regeneration simulations. The idea is to identify a sequence of control random variables, each one defined within a regenerative cycle, whose mean can be calculated analytically. These controls should be highly correlated with the usual quantities observed in a regenerative simulation. This correlation reduces the variance of the estimate for the parameter of interest. Numerical examples are included for the waiting time process of an M/M/1 queue and for several Markov chains. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1978
Accession Number
ADA056268

Entities

People

  • Donald Iglehart
  • Peter A. W. Lewis

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computations
  • Contracts
  • Estimators
  • Governments
  • Intervals
  • Markov Chains
  • Markov Processes
  • Probability
  • Random Variables
  • Random Walk
  • Schools
  • Sequences
  • Simulations
  • Simulators
  • Standards
  • Stochastic Processes
  • United States

Readers

  • Computational Modeling and Simulation
  • Mathematical Modeling and Probability Theory.