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Adaptive simulation using perfect control variates

Part of: Operations research and management science Probabilistic methods, simulation and stochastic differential equations Markov processes

Published online by Cambridge University Press:  14 July 2016

Shane G. Henderson  and
Burt Simon
Shane G. Henderson*
Affiliation:
Cornell University
Burt Simon*
Affiliation:
University of Colorado at Denver
*
∗ Postal address: School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY 14853, USA. Email address: shane@orie.cornell.edu
∗∗ Postal address: Department of Mathematics, University of Colorado at Denver, Campus Box 170, PO Box 173364, Denver, CO 80217-3364, USA. Email address: bsimon@math.cudenver.edu
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Abstract

We introduce adaptive-simulation schemes for estimating performance measures for stochastic systems based on the method of control variates. We consider several possible methods for adaptively tuning the control-variate estimators, and describe their asymptotic properties. Under certain assumptions, including the existence of a ‘perfect control variate’, all of the estimators considered converge faster than the canonical rate of n −1/2, where n is the simulation run length. Perfect control variates for a variety of stochastic processes can be constructed from ‘approximating martingales’. We prove a central limit theorem for an adaptive estimator that converges at rate A similar estimator converges at rate n −1. An exponential rate of convergence is also possible under suitable conditions.

Keywords

Adaptive Monte Carlovariance reductionefficiency improvementapproximating martingalecontrol variate

MSC classification

Primary: 65C05: Monte Carlo methods
Secondary: 60J22: Computational methods in Markov chains 90B99: None of the above, but in this section
Type
Research Papers
Information
Journal of Applied Probability , Volume 41 , Issue 3 , September 2004 , pp. 859 - 876
Copyright
Copyright © Applied Probability Trust 2004 

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