Automated estimation and variance reduction via control variates for infinite-horizon simulations.
Rowena AñonuevoBarry L. NelsonPublished in: Comput. Oper. Res. (1988)
Keyphrases
- infinite horizon
- variance reduction
- optimal control
- importance sampling
- finite horizon
- gradient estimation
- optimal policy
- dynamic programming
- long run
- stochastic demand
- markov decision processes
- monte carlo
- sample size
- bias variance decomposition
- control strategy
- state space
- average cost
- control system
- lead time
- learning algorithm
- parameter estimation
- decision trees