Variance Reduction using Nonlinear Control and Transformations
Lewis, Peter A.W.
Ressler, Richard L.
Wood, R. Kevin
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Nonlinear regression-adjusted control variables are investigated for improving variance reduction in statistical and systems simulations. To this end, simple control variables are piecewise sectioned and then transformed using linear and nonlinear transformations. Optical parameters of these transformations are selected using linear or nonlinear least-squares regression algorithms. As an example, piecewise power-transformed variables are used in the estimation of the mean for the two-variable Anderson-Darling goodness-of-fit statistic W2. Substantial variance reduction over straightforward controls is obtained. These parametric transformations are compared against optimal, additive nonparametric transformations obtained by using the ACE algorithm and are sown, in comparison to the results from ACE, to be nearly optimal.
NPS Report NumberNPS55-88-007
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Lewis, Peter A.W.; Ressler, Richard; Wood, R. Kevin (1987);Nonlinear regression-adjusted control variables are investigated for improving variance reduction in statistical and system simulations. Simple control variables are transformed using linear and nonlinear transformations, ...
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