Correlation-inducing variance reduction in regenerative simulation

Correlation-inducing variance reduction in regenerative simulation

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Article ID: iaor19972180
Country: Netherlands
Volume: 19
Issue: 1
Start Page Number: 17
End Page Number: 23
Publication Date: Jul 1996
Journal: Operations Research Letters
Authors: ,
Abstract:

This paper proposes a variance reduction technique that can be applied to regenerative simulations. The proposed technique induces correlation between consecutive nonoverlapping pairs of regenerations. Under some mild assumptions, the authors show analytically that the proposed technique is superior to conventional techniques in the sense that they use independent random numbers between regenerations. They provide two examples to illustrate that the variance reduction is significant.

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