id: 02146790
dt: j
an: 02146790
au: Dahl, F.A.
ti: Variance reduction for Markov chain processes using state space evaluation
    for control variates.
so: J. Oper. Res. Soc. 52, No. 12, 1402-1407 (2001).
py: 2001
pu: Palgrave Macmillan, Basingstoke
la: EN
cc: 
ut: simulation; Markov chains; neural net training; variance reduction
ci: 
li: doi:10.1057/palgrave.jors.2601232
ab: Summary: We develop a method for reducing variance in Monte Carlo
    simulation of Markov chain processes based on extracting accurate
    control variates from state space evaluation functions. An example is
    given in the form of a simple combat model, where the net variance
    reduction (adjusted for additional calculation) is larger than a factor
    of 80. We also indicate how our algorithm may be applied to discrete
    event simulations and system dynamic models with discrete random
    events.
rv: