한국시뮬레이션학회논문지 (Journal of the Korea Society for Simulation)

한국시뮬레이션학회 (The Korea Society for Simulation)
권호 표지

Variance Reduction via Adaptive Control Variates (ACV)

Variance Reductin via Adaptive Control Variates(ACV)

  • Lee, Jae-Yeong (P.O.Box 78-5, BCTP , YOOSUNG-KU CHUMOK -DONG 567, TAEJEON CITY)
  • 발행 : 1996.06.01
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초록

Control Variate (CV) is very useful technique for variance reduction in a wide class of queueing network simulations. However, the loss in variance reduction caused by the estimation of the optimum control coefficients is an increasing function of the number of control variables. Therefore, in some situations, it is required to select an optimal set of control variables to maximize the variance reduction . In this paper, we develop the Adaptive Control Variates (ACV) method which selects an optimal set of control variates during the simulation adatively. ACV is useful to maximize the simulation efficiency when we need iterated simulations to find an optimal solution. One such an example is the Simulated Annealing (SA) because, in SA algorithm, we have to repeat in calculating the objective function values at each temperature, The ACV can also be applied to the queueing network optimization problems to find an optimal input parameters (such as service rates) to maximize the throughput rate with a certain cost constraint.

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참고문헌

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