Variance reduction for quantile estimates in simulations via nonlinear controls
By: Peter A.W. Lewis, and Richard L. Ressler
Contributors: Ressler, Richard L.; Naval Postgraduate School (U.S.). Dept. of Operations Research
Publisher: Naval Postgraduate School; Available from National Technical Information Service
Published: 1990
Place of publication: Monterey, Calif; Springfield, Va
Language: eng
Number of pages: 31
Subjects: REDUCTION; STATISTICAL PROCESSES; VARIATIONS
Other titles: NPS-55-90-09.
Description: Linear controls are a well known simple technique for achieving variance reduction in      computer simulation. Unfortunately the effectiveness of a linear control depends upon the      correlation between the statistic of interest and the control, which is often low. Since statistics      often have a nonlinear relationship with the potential control variables, nonlinear controls offer      a means for improvement over linear controls. This paper focuses on the use of nonlinear      controls for reducing the variance of quantile estimates in simulation. It is shown that one can      substantially reduce the analytic effort required to develop a nonlinear control from a quantile      estimator by using a strictly monotone transformation to create the nonlinear control. It is also      shown that as one increases the sample size for the quantile estimator, the asymptotic      multivariate normal distribution of the quantile of interest and the control reduces the      effectiveness of the nonlinear control to that of the linear control. However, the data has to be      sectioned to obtained an estimate of the variance of the controlled quantile estimate. Graphical      methods are suggested for selecting the section size that maximizes the effectiveness of the      nonlinear control. Keyword: Variance reduction, Quantiles; Nonlinear controls;      Transformation; ACE; Least-squares regression; Jackknifing. (kr)
Notes: Title from cover.

"NPS-55-90-09."

"April 1990."

AD A222 653.

Includes bibliographical references (p. 30-31).

aq/aq cc:9116 05/07/98