Randomized Estimators for Time Integrals.

Abstract

This document considers a stochastic system for which one needs an estimate of the expected discounted cost over the infinite horizon. Standard Monte Carlo procedures do not apply since the parameter to be estimated involves values of the process over an infinitely long time interval. This paper, presents Monte Carlo estimation techniques, based on randomization, that can be used in the above setting. The techniques developed turn out to be more efficient than the standard approach, even when the parameter to be estimated cumulates costs over a finite time interval. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1983
Accession Number
ADA137921

Entities

People

  • P. W. Glynn

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Computer Science
  • Distribution Functions
  • Estimators
  • Intervals
  • Mathematics
  • New York
  • Optimization
  • Probability
  • Probability Distributions
  • Random Variables
  • Simulations
  • Standards
  • Statistical Algorithms
  • Stochastic Processes
  • Time Intervals
  • United States

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Statistical inference.