Title :
Non-linear control variates for regenerative steady-state simulation
Author :
Kim, Sujin ; Henderson, Shane G.
Author_Institution :
Purdue Univ., West Lafayette
Abstract :
We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in the Markov-process setting, discuss the optimization problem of searching for a good choice of parameterization, and develop a strong law and central limit theorem for the resulting estimator.
Keywords :
Markov processes; adaptive control; nonlinear control systems; optimisation; search problems; simulation; Markov process; adaptive control; nonlinear control variate; optimization; regenerative steady-state simulation; search problem; Centralized control; Computational modeling; Industrial engineering; Operations research; Optimization methods; Random variables; Robustness; Steady-state; Traffic control; Vectors;
Conference_Titel :
Simulation Conference, 2007 Winter
Conference_Location :
Washington, DC
Print_ISBN :
978-1-4244-1306-5
Electronic_ISBN :
978-1-4244-1306-5
DOI :
10.1109/WSC.2007.4419632
