Title: Opportunities of robust regression for variance reduction in discrete event simulation
Authors: Janssens, Gerrit ×
Deceuninck, Wim
Van Breedam, Alexis #
Issue Date: 1993
Publisher: Elsevier
Series Title: Journal of computational and applied mathematics vol:23 issue:1 pages:95-107
Abstract: Variance reduction increases the efficiency of discrete event simulation. The method of using control variates searches for variables with known mean which are correlated with the response variable. The more correlated they are, the more the variance of the response variable can be reduced to obtain a confidence interval. Mostly only a few replications are made. This enables outliers to give a false view on the reduction possibilities. To cope with this statistical problem, we propose the use of a robust regression method in determining optimal weights for the control variables.
ISSN: 0377-0427
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Centre for Industrial Management / Traffic & Infrastructure
× corresponding author
# (joint) last author

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