Analytic and External Control Variates for Queueing Network Simulation

Abstract

While external control variates (ECVs) have long been advocated for reducing the variance of simulation estimators, the lack of tractable external control systems and the almost doubling of the computational burden has hindered their use. This paper presents preliminary work on a new type of control variate, the analytic control variate (ACV), that has the advantages of the ECV but requires much less additional computation. Use of an ACV is demonstrated for open queueing networks.