REGENERATIVE SIMULATION WITH INTERNAL CONTROLS

被引：22

作者：

IGLEHART, DL ^{[1
]}

LEWIS, PAW ^{[1
]}

机构：

[1] USN,POSTGRAD SCH,MONTEREY,CA 93940

来源：

JOURNAL OF THE ACM | 1979年 / 26卷 / 02期

关键词：

control variables; regenerative method; simulation; statiscal analysis of simulations;

D O I：

10.1145/322123.322132

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：271 / 282

页数：12