Variance Reduction in Monte Carlo Simulation

Abstract : The problem of Monte Carlo estimation of M(t) = EN(t), the expected number of renewals (O,t) for a renewal process with known interarrival time distribution F, is considered. Several unbiased estimators which compete favorably with the naive estimator, N(t), are presented and studied. We believe that our approach and methodology, although only applied to renewal function estimation in this paper, can be useful in a large variety of problems.