IDEAS home Printed from https://ideas.repec.org/a/wly/navres/v39y1992i3p307-321.html
   My bibliography  Save this article

Control‐variate selection criteria

Author

Listed:
  • Kenneth W. Bauer
  • James R. Wilson

Abstract

For multiresponse simulations requiring point and confidence‐region estimators of the mean response, we propose control‐variate selection criteria that minimize mean‐square confidence‐region volume in two situations: (a) Only the mean control vector is known, and standard linear control‐variate estimation procedures are used. (b) Covariances among controls are also known and are incorporated into new linear control‐variate estimation procedures. An example illustrates the performance of these selection criteria.

Suggested Citation

  • Kenneth W. Bauer & James R. Wilson, 1992. "Control‐variate selection criteria," Naval Research Logistics (NRL), John Wiley & Sons, vol. 39(3), pages 307-321, April.
    • Handle: RePEc:wly:navres:v:39:y:1992:i:3:p:307-321
    DOI: 10.1002/nav.3220390303
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/nav.3220390303
    Download Restriction: no
    File URL: https://libkey.io/10.1002/nav.3220390303?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Peter W. Glynn & Ward Whitt, 1989. "Indirect Estimation Via L = λ W," Operations Research, INFORMS, vol. 37(1), pages 82-103, February.
    2. Reuven Y. Rubinstein & Ruth Marcus, 1985. "Efficiency of Multivariate Control Variates in Monte Carlo Simulation," Operations Research, INFORMS, vol. 33(3), pages 661-677, June.
    3. Jason C. Hsu & Barry L. Nelson, 1990. "Control Variates for Quantile Estimation," Management Science, INFORMS, vol. 36(7), pages 835-851, July.
    4. Acácio M. De O. Porta Nova & James R. Wilson, 1989. "Estimation of Multiresponse Simulation Metamodels Using Control Variates," Management Science, INFORMS, vol. 35(11), pages 1316-1333, November.
    5. S. S. Lavenberg & P. D. Welch, 1981. "A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations," Management Science, INFORMS, vol. 27(3), pages 322-335, March.
    6. Nelson, Barry L., 1989. "Batch size effects on the efficiency of control variates in simulation," European Journal of Operational Research, Elsevier, vol. 43(2), pages 184-196, November.
    7. J. R. Wilson & A. A. B. Pritsker, 1984. "Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables," Management Science, INFORMS, vol. 30(12), pages 1459-1472, December.
    8. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    9. Stephen S. Lavenberg & Thomas L. Moeller & Peter D. Welch, 1982. "Statistical Results on Control Variables with Application to Queueing Network Simulation," Operations Research, INFORMS, vol. 30(1), pages 182-202, February.
    10. Athanassios N. Avramidis & Kenneth W. Bauer & James R. Wilson, 1991. "Simulation of stochastic activity networks using path control variates," Naval Research Logistics (NRL), John Wiley & Sons, vol. 38(2), pages 183-201, April.
    11. Bruce Schmeiser, 1982. "Batch Size Effects in the Analysis of Simulation Output," Operations Research, INFORMS, vol. 30(3), pages 556-568, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Barry L. Nelson, 2004. "50th Anniversary Article: Stochastic Simulation Research in Management Science," Management Science, INFORMS, vol. 50(7), pages 855-868, July.
    2. Timothy C. Hesterberg & Barry L. Nelson, 1998. "Control Variates for Probability and Quantile Estimation," Management Science, INFORMS, vol. 44(9), pages 1295-1312, September.
    3. Athanassios N. Avramidis & Kenneth W. Bauer & James R. Wilson, 1991. "Simulation of stochastic activity networks using path control variates," Naval Research Logistics (NRL), John Wiley & Sons, vol. 38(2), pages 183-201, April.
    4. Song, Wheyming Tina & Chih, Mingchang, 2013. "Run length not required: Optimal-mse dynamic batch means estimators for steady-state simulations," European Journal of Operational Research, Elsevier, vol. 229(1), pages 114-123.
    5. Athanassios N. Avramidis & James R. Wilson, 1998. "Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments," Operations Research, INFORMS, vol. 46(4), pages 574-591, August.
    6. Amano, Tomoyuki & Taniguchi, Masanobu, 2011. "Control variate method for stationary processes," Journal of Econometrics, Elsevier, vol. 165(1), pages 20-29.
    7. Rayadurgam Srikant & Ward Whitt, 1999. "Variance Reduction in Simulations of Loss Models," Operations Research, INFORMS, vol. 47(4), pages 509-523, August.
    8. Song, Wheyming T. & Chih, Mingchang, 2010. "Extended dynamic partial-overlapping batch means estimators for steady-state simulations," European Journal of Operational Research, Elsevier, vol. 203(3), pages 640-651, June.
    9. Shing Chih Tsai & Chen Hao Kuo, 2012. "Screening and selection procedures with control variates and correlation induction techniques," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(5), pages 340-361, August.
    10. Peter W. Glynn & Donald L. Iglehart, 1989. "The optimal linear combination of control variates in the presence of asymptotically negligible bias," Naval Research Logistics (NRL), John Wiley & Sons, vol. 36(5), pages 683-692, October.
    11. Król, Michał, 2012. "Product differentiation decisions under ambiguous consumer demand and pessimistic expectations," International Journal of Industrial Organization, Elsevier, vol. 30(6), pages 593-604.
    12. G. Sujatha, 2018. "‘Is It Family or Politics?’ Reflections on Gender and the Modern Tamil Subjectivity Constitution in the Discourse of C. N. Annadurai," Studies in Indian Politics, , vol. 6(2), pages 267-281, December.
    13. repec:dgr:rugsom:04a27 is not listed on IDEAS
    14. Sergio Sousa, 2010. "Small-scale changes in wealth and attitudes toward risk," Discussion Papers 2010-11, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
    15. Laczó, Sarolta & Rossi, Raffaele, 2020. "Time-consistent consumption taxation," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 194-220.
    16. Pratap, Sangeeta & Urrutia, Carlos, 2004. "Firm dynamics, investment and debt portfolio: balance sheet effects of the Mexican crisis of 1994," Journal of Development Economics, Elsevier, vol. 75(2), pages 535-563, December.
    17. D’Erasmo, P. & Mendoza, E.G. & Zhang, J., 2016. "What is a Sustainable Public Debt?," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2493-2597, Elsevier.
    18. Alain Egli, 2005. "Hotelling's Beach with Linear and Quadratic Transportation Costs: Existence of Pure Strategy Equilibria," Diskussionsschriften dp0509, Universitaet Bern, Departement Volkswirtschaft.
    19. Matteo Iacoviello, 2008. "Household Debt and Income Inequality, 1963–2003," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 929-965, August.
    20. Goh, Kim-Leng & King, Maxwell L., 1996. "Modified Wald tests for non-linear restrictions: A cautionary tale," Economics Letters, Elsevier, vol. 53(2), pages 133-138, November.
    21. Ken Miyajima, 2013. "Foreign exchange intervention and expectation in emerging economies," BIS Working Papers 414, Bank for International Settlements.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:navres:v:39:y:1992:i:3:p:307-321. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1520-6750 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.