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An investigation of nonlinear controls and regression-adjusted estimators for variance reduction in computer simulation.

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Author
Ressler, Richard L.
Date
1991-03
Advisor
Lewis, Peter A.W.
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Abstract
This dissertation develops new techniques for variance reduction in computer simulation. It demonstrates that applying nonlinear transformations to control variables can increase their effectiveness over linear controls. It shows how one can reduce the variance of quantile estimates, where the quantile of interest is a continuous and strictly monotone transformation of the control quantile, by transforming the control quantile with a different continuous and strictly monotone transformation. Asymptotic expansions are developed to validate the improved performance of the nonlinear control for the quantile estimate. Finally, in the realm of regenerative simulation, regression-adjusted techniques are applied to controlled regenerative estimates. The resulting estimates have a greatly reduced estimated mean square error.
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http://hdl.handle.net/10945/26602
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Related items

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    Variance reduction for quantile estimates in simulations via nonlinear controls 

    Lewis, Peter A. W.; Ressler, Richard L. (Monterey, California. Naval Postgraduate School, 1990-04); NPS-55-90-09
    Linear controls are a well known simple technique for achieving variance reduction in computer simulation. Unfortunately the effectiveness of a linear control depends upon the correlation between the statistic of interest ...
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    Variance Reduction of Quantile Estimates via Nonlinear Controls 

    Lewis, Peter A.W.; Ressler, Richard L. (1989);
    Linear controls are a well known techniques for achieving variance reduction in computer simulation. Unfortunately the effectiveness of a linear control depends upon the correlation between the statistic of interest and ...
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    Simultaneous estimation of large numbers of extreme quantiles in simulation experiments 

    Goodman, Alvin S.; Lewis, Peter A. W.; Robbins, Herbert E. (Monterey, California. Naval Postgraduate School, 1971-12); NPS55LW71122A
    The large random access memory and high internal speeds of present day computers can be used to increase the efficiency of large-scale simulation experiments by estimating simultaneously several quantiles of each of several ...
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