REGENERATIVE SIMULATION WITH INTERNAL CONTROLS

A new variance reduction techmque called internal control variables is introduced. This technique ts to be used m regenerative simulations The idea is to identify a sequence of control random variables, each one defmed within a regeneraUve cycle, whose mean can be calculated analytically These controls should be highly correlated with the usual quantmtes observed m a regenerative smulat,on This correlation reduces the variance of the estimate for the parameter of interest Numerical examples are mcluded for the wmting Ume process of an M/M/I queue and for several Markov chains. © 1979, ACM. All rights reserved.