Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems

S. S. Lavenberg, T. L. Moeller and C. H. Sauer
Additional contact information
S. S. Lavenberg: IBM Thomas J. Watson Research Center, Yorktown Heights, New York
T. L. Moeller: The Aerospace Corporation, El Segundo, California
C. H. Sauer: University of Texas, Austin, Texas

Operations Research, 1979, vol. 27, issue 1, 134-160

Abstract: We investigate using multiple concomitant control variables to reduce the width of confidence intervals when estimating steady-state response variables via the regenerative method of simulation. A concomitant control variable is an estimator of a known quantity, defined with respect to the system being simulated, that is believed to be correlated with the response variable estimator. We give examples of such control variables for two regenerative queuing systems, the stable GI / G /1 queue and a closed queuing system. An estimator that uses multiple control variables involves unknown coefficients; one wishes to choose these coefficients to minimize the variance of the estimator. We establish the asymptotic validity of confidence intervals constructed using control variables when the coefficients themselves are estimated via regenerative simulation. For the response variables and control variables in our examples we compute the variance reduction that could be obtained if the optimum coefficients were known and empirically investigate the variance reduction obtained in practice using various methods for estimating the coefficients. We find that when the coefficients are estimated from a small fraction of the simulated tours the controlled estimators yield confidence intervals whose width is less than and whose coverage is comparable to that obtained without using control variables.

Date: 1979
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://dx.doi.org/10.1287/opre.27.1.134 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:27:y:1979:i:1:p:134-160

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().