Regenerative Simulation with Internal Controls.
NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF
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A new variance reduction technique is introduced called internal control variables, to be used in the context of regeneration simulations. The idea is to identify a sequence of control random variables, each one defined within a regenerative cycle, whose mean can be calculated analytically. These controls should be highly correlated with the usual quantities observed in a regenerative simulation. This correlation reduces the variance of the estimate for the parameter of interest. Numerical examples are included for the waiting time process of an MM1 queue and for several Markov chains. Author
- Statistics and Probability