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Multivariate Batch Means and Control Variates

Author

Listed:
  • Wei-Ning Yang

    (National Taiwan Institute of Technology, Department of Information Management, Taipei, Taiwan)

  • Barry L. Nelson

    (Department of Industrial and Systems Engineering, The Ohio State University, Columbus, Ohio 43210)

Abstract

We consider applying the nonoverlapping batch means output analysis method in conjunction with the control-variate variance-reduction technique to estimate a steady-state multivariate mean vector. The effects of the number of batches and the number of control variates on the multivariate point and region estimators and the univariate point and interval estimators are considered. The results are experiment analysis guidelines in terms of an appropriate range of the number of batches to choose as a function of the number of responses and control variates. The results have implications for terminating simulations as well.

Suggested Citation

  • Wei-Ning Yang & Barry L. Nelson, 1992. "Multivariate Batch Means and Control Variates," Management Science, INFORMS, vol. 38(10), pages 1415-1431, October.
    • Handle: RePEc:inm:ormnsc:v:38:y:1992:i:10:p:1415-1431
    DOI: 10.1287/mnsc.38.10.1415
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