Batch size effects on the efficiency of control variates in simulation

Batch size effects on the efficiency of control variates in simulation

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Article ID: iaor1991335
Country: Netherlands
Volume: 43
Issue: 2
Start Page Number: 184
End Page Number: 196
Publication Date: Nov 1989
Journal: European Journal of Operational Research
Authors:
Abstract:

This paper considers the combined use of control variates and batching for estimating the steady-state mean of an infinite-horizon process via simulation. Properties of the point and interval estimators from such a procedure are derived as functions of the number of batches and the number of control variates when the total sample size is fixed.

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