document: Approximating martingales for variance reduction in Markov process simulation `` Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed . '' This principle seems intuitively plausible and certainly attractive , yet no completely satisfactory general methodology has been developed to exploit it . The authors present a new approach for obtaining variance reduction in Markov process simulation that is applicable to a vast array of different performance measures . The approach relies on the construction of a martingale that is then used as an internal control variate
doc_bio_tags: O B O B I O B I I O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O O B I O B I I O O O O O O O O O B I O O O O O O O O O O O O O O O O B I I
extractive_keyphrases: markov process simulation variance reduction martingales performance measures internal control variate
abstractive_keyphrases: approximating martingale-process method complex stochastic processes single-server queue