A variant of the conditional expectation variance reduction technique and its application to the simulation of the GI/G/1 queues

This paper introduces the Partial Conditional Expectation (PCE) variance reduction technique, derived by modifying the well-known Conditional Expectation (CE) technique to make it more widely applicable. It applies this PCE technique to obtain a consistent estimator for the extected waiting time in queue in a single-server queueing system. The paper then derives an improved version of this estimator, taking into consideration further properties of the system. Empirical results show that these two estimators always perform better than the classical estimator. When the traffic intensity is low, the variance reductions obtained by these two estimators become very significant.