A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations

S. S. Lavenberg and P. D. Welch
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S. S. Lavenberg: IBM Thomas J. Watson Research Center
P. D. Welch: IBM Thomas J. Watson Research Center

Management Science, 1981, vol. 27, issue 3, 322-335

Abstract: This is a survey paper on the application of control variables to increase the efficiency of discrete event simulations. The emphasis is on the practical problems and potential of applying the method in the simulation of complex systems. The basic theory of control variables is reviewed and the equivalence of control variables and multiple estimators is discussed. Techniques for generating control variables are described. Inefficiencies resulting from the statistical estimation of control variable coefficients and the problem of confidence interval generation are treated. This is done both within the context of the method of independent replications and the regenerative method. The application literature is reviewed and the conditions under which control variables could be profitably applied in practical simulations are described. Finally, there is a set of recommended directions for future research.

Keywords: simulation; control variables; variance reduction (search for similar items in EconPapers)
Date: 1981
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:27:y:1981:i:3:p:322-335

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