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Variance Reduction for Simulating Transient GI/G/1 Behavior
Published online by Cambridge University Press: 27 July 2009
Abstract
A variety of methods for reducing the variance on Monte Carlo estimators of the expected waiting time Wn of the nth customer in a GI/G/1 queue are studied. The ideas involve Spitzer's identity, importance sampling, and sums with stratified or controlled randomized length.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 10 , Issue 2 , April 1996 , pp. 197 - 205
- Copyright
- Copyright © Cambridge University Press 1996
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