article

A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations

Authors:

S. S. Lavenberg,

P. D. WelchAuthors Info & Claims

Management Science, Volume 27, Issue 3

Pages 322 - 335

https://doi.org/10.1287/mnsc.27.3.322

Published: 01 March 1981 Publication History

Abstract

This is a survey paper on the application of control variables to increase the efficiency of discrete event simulations. The emphasis is on the practical problems and potential of applying the method in the simulation of complex systems. The basic theory of control variables is reviewed and the equivalence of control variables and multiple estimators is discussed. Techniques for generating control variables are described. Inefficiencies resulting from the statistical estimation of control variable coefficients and the problem of confidence interval generation are treated. This is done both within the context of the method of independent replications and the regenerative method. The application literature is reviewed and the conditions under which control variables could be profitably applied in practical simulations are described. Finally, there is a set of recommended directions for future research.

Cited By

View all

Hintz EHofert MLemieux CTaniguchi Y(2022)Single-Index Importance Sampling with StratificationMethodology and Computing in Applied Probability10.1007/s11009-022-09970-124:4(3049-3073)Online publication date: 21-Jul-2022
https://dl.acm.org/doi/10.1007/s11009-022-09970-1
Verma BPratap RThakur M(2022)Variance reduction in feature hashing using MLE and control variate methodMachine Language10.1007/s10994-022-06166-z111:7(2631-2662)Online publication date: 1-Jul-2022
https://dl.acm.org/doi/10.1007/s10994-022-06166-z
Verma AHanawal MRanzato MBeygelzimer ADauphin YLiang PVaughan J(2021)Stochastic multi-armed bandits with control variatesProceedings of the 35th International Conference on Neural Information Processing Systems10.5555/3540261.3542374(27592-27603)Online publication date: 6-Dec-2021
https://dl.acm.org/doi/10.5555/3540261.3542374
Show More Cited By

A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
1. Mathematics of computing
  1. Probability and statistics
    1. Probabilistic reasoning algorithms

Recommendations

Variance-reduced HMM for Stochastic Slow-fast Systems

We propose a novel variance reduction strategy based on control variables for simulating the averaged equation of a stochastic slow-fast system. In this system, we assume that the fast equation is ergodic, implying the existence of an invariant measure, ...
Monte Carlo integration for Choquet integral
Abstract
In this paper, a numerical Monte Carlo integration for Choquet integrals is proposed by using a generalized version of mean value theorem based on Choquet integral. In special cases, this generalization can help us to have the classical Monte ...
Control variate selection for Monte Carlo integration
Abstract
Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regression model with the integrand as response and the control variates ...

Comments

Information & Contributors

Information

Published In

Management Science Volume 27, Issue 3

March 1981

125 pages

ISSN:0025-1909

Issue’s Table of Contents

Publisher

INFORMS

Linthicum, MD, United States

Publication History

Published: 01 March 1981

Author Tags

Qualifiers

Article

Contributors

Other Metrics

View Article Metrics

Bibliometrics & Citations

Bibliometrics

Article Metrics

42
Total Citations
View Citations
0
Total Downloads

Downloads (Last 12 months)0
Downloads (Last 6 weeks)0

Reflects downloads up to 28 Dec 2024

Other Metrics

View Author Metrics

Citations

Cited By

View all

Hintz EHofert MLemieux CTaniguchi Y(2022)Single-Index Importance Sampling with StratificationMethodology and Computing in Applied Probability10.1007/s11009-022-09970-124:4(3049-3073)Online publication date: 21-Jul-2022
https://dl.acm.org/doi/10.1007/s11009-022-09970-1
Verma BPratap RThakur M(2022)Variance reduction in feature hashing using MLE and control variate methodMachine Language10.1007/s10994-022-06166-z111:7(2631-2662)Online publication date: 1-Jul-2022
https://dl.acm.org/doi/10.1007/s10994-022-06166-z
Verma AHanawal MRanzato MBeygelzimer ADauphin YLiang PVaughan J(2021)Stochastic multi-armed bandits with control variatesProceedings of the 35th International Conference on Neural Information Processing Systems10.5555/3540261.3542374(27592-27603)Online publication date: 6-Dec-2021
https://dl.acm.org/doi/10.5555/3540261.3542374
Kang K(2021)Correlations between random projections and the bivariate normalData Mining and Knowledge Discovery10.1007/s10618-021-00764-635:4(1622-1653)Online publication date: 1-Jul-2021
https://dl.acm.org/doi/10.1007/s10618-021-00764-6
Pierre-Louis PBayraksan GMorton D(2011)A combined deterministic and sampling-based sequential bounding method for stochastic programmingProceedings of the Winter Simulation Conference10.5555/2431518.2432016(4172-4183)Online publication date: 11-Dec-2011
https://dl.acm.org/doi/10.5555/2431518.2432016
Cassell BWellman MYilmaz LÖren T(2011)Agent-based analysis of asset pricing under ambiguous informationProceedings of the 2011 Workshop on Agent-Directed Simulation10.5555/2048355.2048358(21-28)Online publication date: 3-Apr-2011
https://dl.acm.org/doi/10.5555/2048355.2048358
Jaffari JAnis MDe Micheli GAl-Hashimi BMueller WMacii E(2010)Practical Monte-Carlo based timing yield estimation of digital circuitsProceedings of the Conference on Design, Automation and Test in Europe10.5555/1870926.1871124(807-812)Online publication date: 8-Mar-2010
https://dl.acm.org/doi/10.5555/1870926.1871124
Jordan PWellman MBalakrishnan GParkes DDellarocas CTennenholtz M(2010)Strategy and mechanism lessons from the first ad auctions trading agent competitionProceedings of the 11th ACM conference on Electronic commerce10.1145/1807342.1807389(287-296)Online publication date: 7-Jun-2010
https://dl.acm.org/doi/10.1145/1807342.1807389
Jaffari JAnis M(2010)Advanced variance reduction and sampling techniques for efficient statistical timing analysisIEEE Transactions on Computer-Aided Design of Integrated Circuits and Systems10.1109/TCAD.2010.206155329:12(1894-1907)Online publication date: 1-Dec-2010
https://dl.acm.org/doi/10.1109/TCAD.2010.2061553
Borogovac TVakili PJefferson TFowler JIngalls R(2008)Control variate techniqueProceedings of the 40th Conference on Winter Simulation10.5555/1516744.1516811(320-327)Online publication date: 7-Dec-2008
https://dl.acm.org/doi/10.5555/1516744.1516811
Show More Cited By

Abstract

Cited By

Recommendations

Variance-reduced HMM for Stochastic Slow-fast Systems

Monte Carlo integration for Choquet integral

Control variate selection for Monte Carlo integration

Comments

Information

Published In

Publisher

Publication History

Author Tags

Qualifiers

Contributors

Other Metrics

Bibliometrics

Article Metrics

Other Metrics

Citations

Cited By

View options

Figures

Other

Share

Share this Publication link

Share on social media

Affiliations