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- W2088897998 abstract "Antithetic variates and control variates are two well-known variance reduction techniques. We consider combining antithetic variates and control variates to estimate the mean response in a stochastic simulation experiment. When applying antithetic variates to generate control variates across paired replications, we show that the integrated control-variate estimator is unbiased and yields, under the assumption of common correlations induced for all control variates, a smaller variance than the conventional control-variate estimator without using antithetic variates. We examine the proposed estimator and two alternative integrated control-variate estimators when applying antithetic variates on control variates and show that the proposed estimator is the optimal integrated control-variate estimator We implement these three integrated control-variate estimators and the conventional control-variate estimator in a simulation model of a stochastic network to evaluate the performance of each control-variate estimator Empirical results show that the proposed estimator outperforms the other control-variate estimators." @default.
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- W2088897998 date "1996-10-01" @default.
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- W2088897998 title "Combining antithetic variates and control variates in simulation experiments" @default.
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- W2088897998 doi "https://doi.org/10.1145/240896.240899" @default.
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