Automated estimation and variance reduction via control variates for infinite-horizon simulations

@article{Aonuevo1988AutomatedEA,
  title={Automated estimation and variance reduction via control variates for infinite-horizon simulations},
  author={Rowena A{\~n}onuevo and Barry L. Nelson},
  journal={Computers & OR},
  year={1988},
  volume={15},
  pages={447-456}
}
We present an automated procedure that interfaces with SIMSCRIPT II.5 simulation experiments to derive point and interval estimators for infinite-horizon parameters ofstochastic simulations. The procedure combines the nonoverlapping batch means method of output analysis and the control variates variance reduction technique. Batch size and control variates are selected automatically. The paper emphasizes methodology issues and experimental evaluation rather than the specific software developed. 

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