On the interaction between stratification and control variates, with illustrations in a call centre simulation

P L'Ecuyer and E Buist

Journal of Simulation, 2008, vol. 2, issue 1, 29-40

Abstract: Variance reduction techniques (VRTs) are often essential to make simulation quick and accurate enough to be useful. A case in point is simulation-based optimization of complex systems. An obvious idea to push the improvement one step further is to combine several VRTs for a given simulation. But such combinations often give rise to new issues. This paper studies the combination of stratification with control variates. We detail and compare several ways of doing the combination. Nontrivial synergies between the two methods are exhibited. We illustrate this with a telephone call centre simulation, where we combine a control variate with stratification with respect to one of the uniform random variates that drive the simulation. It turns out that using more information in the control variate degrades the performance (significantly) in our example. This seemingly paradoxical behaviour is not rare and our theoretical analysis explains why.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1057/palgrave.jos.4250035 (text/html)
Access to full text is restricted to subscribers.

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:taf:tjsmxx:v:2:y:2008:i:1:p:29-40

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tjsm20

DOI: 10.1057/palgrave.jos.4250035

Access Statistics for this article

Journal of Simulation is currently edited by Christine Currie

More articles in Journal of Simulation from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().