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Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/7238

Title: Selection of control variates for variance reduction in a multiresponse simulation with a small number of replications
Authors: CARIS, An
JANSSENS, Gerrit
Issue Date: 2005
Citation: Proceedings of the ESM 2005 - European simulation and modelling conference, Porto, Portugal, October 24-26, 2005. p. 19-24.
Abstract: In this paper the selection of control variates for simulation experiments with multiple response variables is discussed. The aim is to reduce the variance of all response variables as much as possible. Therefore, response variables are weighted according to their coefficient of variation. A criterion is developed to determine the number of control variates and select the most appropriate ones. When the number of replications is small due to computational costs, outliers may seriously effect the estimation of coefficients for the control variates. Robust regression, based on the least median of squares criterion, is used to detect outliers.
URI: http://hdl.handle.net/1942/7238
ISI #: 000235515700003
ISBN: 90-77381-22-8
Category: C1
Type: Proceedings Paper
Validation: ecoom, 2007
Appears in Collections: Research publications

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