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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.

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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
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Index Terms

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
      1. Markov-chain Monte Carlo methods
      2. Sequential Monte Carlo methods

Index terms have been assigned to the content through auto-classification.

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Published In

Management Science Volume 27, Issue 3

March 1981

125 pages

ISSN:0025-1909

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Publisher

INFORMS

Linthicum, MD, United States

Publication History

Published: 01 March 1981

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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
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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
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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
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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
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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
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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
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Variance-reduced HMM for Stochastic Slow-fast Systems

Monte Carlo integration for Choquet integral

Control variate selection for Monte Carlo integration

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