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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