Variance Reduction Techniques for the Simulation of Markov Processes. III. Increasing the Frequency of Regenerations.

Abstract

One of the main difficulties with the regenerative method of simulation is that even though a process may be known to be regenerative, regenerations may occur quite infrequently. A class of methods, based on Dynkin's formula, is considered that increases the frequency of regenerations when the process being simulated is a Markov chain. Instead of simulating the original Markov chain, a new Markov chain is simulated from which point estimates and confidence intervals for parameters of the original chain's stationary distribution may be formed. Because regenerations occur more frequently in the new chain, such confidence intervals will usually be shorter than is otherwise possible. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1978
Accession Number
ADA051431

Entities

People

  • Philip Heidelberger

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computer Simulations
  • Intervals
  • Markov Chains
  • Markov Processes
  • Military Research
  • Operations Research
  • Probability
  • Probability Distributions
  • Random Variables
  • Simulations
  • Simulators
  • Stochastic Processes
  • Transitions
  • United States
  • United States Government
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Computational Modeling and Simulation
  • Mathematical Modeling and Probability Theory.