Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation
研究了在随机模拟中利用控制变量估计百分位数的方法，并通过资本预算中的风险暴露示例验证了其有效性。
Control variables may be used in the estimation of percentiles by stochastic stimulation. Hitherto control variables have only been applied to estimating the mean of a response variable; however, in many uses of simulation, information about the tails of the distribution of a response variable are of more interest. The efficacy of the method is demonstrated by application to an example of a simulation study in capital budgeting where exposure to risk is important.