The Almost Regenerative Method for Stochastic System Simulations
Abstract
The regenerative method for stochastic system simulation allows data collection each time the stochastic process enters a specific single state, r, called the regeneration state. The generated observations have the desireable property of being independent and identically distributed. Relative to a fixed run length, however, the mean time between entries into r may be excessively long for complicated stochastic systems, thus providing few observations and poor variance estimates. The almost regenerative method is an extension of the regenerative method designed to alleviate this problem for complicated stochastic systems (such as a network of queues). The almost regenerative method allows data collection each time the stochastic process enters a set of states. Simulations of simple queueing networks show that the almost regenerative method can provide an order to magnitude improvement over the regenerative method in terms of the mean-square-error of the estimator of total delay in queue, and this relative improvement increases with system complexity.
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1975
- Accession Number
- ADA020129
Entities
People
- Francis L. Gunther
Organizations
- University of California, Berkeley