Regenerative simulation with internal controls
By: by Donald L. Inglehart and Peter A.W. Lewis
Contributors: Iglehart, Donald L., 1933-; Naval Postgraduate School (U.S.)
Publisher: Naval Postgraduate School
Published: 1978
Place of publication: Monterey, Calif
Language: eng
Number of pages: 29
Subjects: Stochastic processes; Mathematical statistics; Estimation theory
Description: 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 M/M/1 queue and for several Markov chains. (Author)
Notes: Title from cover.

"January 1978"--Cover.

"NPS55-78-5"--Cover.

Includes bibliographical references (p. 28-29).

"Approved for public release; distribution unlimited"--Cover.

Technical report; 1978.