Article ID: | iaor1989793 |
Country: | United States |
Volume: | 36 |
Issue: | 5 |
Start Page Number: | 683 |
End Page Number: | 692 |
Publication Date: | Oct 1989 |
Journal: | Naval Research Logistics |
Authors: | Glynn Peter W., Iglehart L. |
The optimal linear combination of control variates is well known when the controls are assumed to be unbiased. The authors derive here the optimal linear combination of controls in the situation where asymptotically negligible bias is present. The small-sample linear control which minimizes the mean square error (MSE) is derived. When the optimal asymptotic linear control is used rather than the optimal small-sample control, the degradation in MSE is