The Asymptotic Efficiency of Simulation Estimators

@article{Glynn1992TheAE,
  title={The Asymptotic Efficiency of Simulation Estimators},
  author={Peter W. Glynn and Ward Whitt},
  journal={Operations Research},
  year={1992},
  volume={40},
  pages={505-520}
}
A decision-theoretic framework is proposed for evaluating the efficiency of simulation estimators. The framework includes the cost of obtaining the estimate as well as the cost of acting based on the estimate. The cost of obtaining the estimate and the estimate itself are represented as realizations of jointly distributed stochastic processes. In this context, the efficiency of a simulation estimator based on a given computational budget is defined as the reciprocal of the risk (the overall… CONTINUE READING
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