Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator “getRDS” and the proposed “getLHS” using variance reduction

Boubalou Meriem (), Ourbih-Tari Megdouda (), Aloui Abdelouhab () and Zioui Arezki ()
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Boubalou Meriem: Laboratoire de Mathématiques appliquées, FSE, Université de Bejaia, 06000, Bejaia, Algeria
Ourbih-Tari Megdouda: Institut des Sciences, Centre Universitaire Morsli Abdellah de Tipaza, 42020, Tipaza; and Laboratoire de Mathématiques appliquées, FSE, Université de Bejaia, 06000, Bejaia, Algeria
Aloui Abdelouhab: LiMed, FSE, Université de Bejaia, 06000, Bejaia, Algeria
Zioui Arezki: Laboratoire de Mathématiques appliquées, FSE, Université de Bejaia, 06000, Bejaia, Algeria

Monte Carlo Methods and Applications, 2019, vol. 25, issue 2, 177-186

Abstract: In this paper, we propose a Latin hypercube sampling (LHS) number generator in C language under Linux called getLHS in order to compare both methods LHS and refined descriptive sampling (RDS) method. It was highly tested by adequate statistical tests and compared statistically to the getRDS number generator. We noticed that getRDS has passed all tests better than the proposed getLHS generator. A simulation of M/G/1 queues is performed using getRDS to sample inputs from the RDS method and getLHS to sample inputs from the LHS method. The results obtained through simulation demonstrate that the RDS method produces more accurate point estimates of the true parameters than the LHS method. Moreover, the RDS method can significantly improve the performance of the studied queues compared to the well-known LHS method since its variance reduction factor is quite good in almost all cases. It is then proved that RDS is an improvement over LHS at least on queues.

Keywords: Estimation; Monte Carlo; simulation; variance reduction; M/G/1 queues (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1515/mcma-2019-2033

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