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Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation

 

作者: AshfordRobert W.,   GuedesMaria C. M.,  

 

期刊: Journal of the Operational Research Society  (Taylor Available online 1988)
卷期: Volume 39, issue 10  

页码: 919-932

 

ISSN:0160-5682

 

年代: 1988

 

DOI:10.1057/jors.1988.158

 

出版商: Taylor&Francis

 

关键词: Capital Budgeting;Control Variables;Percentiles;Simulation;Variance Reduction

 

数据来源: Taylor

 

摘要:

AbstractControl variables may be used in the estimation of percentiles by stochastic stimulation. Hitherto control variables have only been applied to estimating the mean of a response variable; however, in many uses of simulation, information about the tails of the distribution of a response variable are of more interest. The efficacy of the method is demonstrated by application to an example of a simulation study in capital budgeting where exposure to risk is important.

 

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