Regenerative Structure of Markov Chains Simulated via Common Random Numbers.

Abstract

A standard strategy in simulation, for comparing two stochastic systems, is to use a common sequence of random numbers to drive both systems. Certain theoretical and methodological results require that the coupled system be regenerative. It is shown that if the stochastic systems are Markov chains with countable state space, then the coupled system is necessarily regenerative. An example is given which shows that the regenerative property can fail to hold in general state space, even if the individual systems are regenerative.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1984
Accession Number
ADA149092

Entities

People

  • P. W. Glynn

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Classification
  • Contracts
  • Convergence
  • Joints
  • Markov Chains
  • Mathematics
  • North Carolina
  • Probability
  • Probability Distributions
  • Random Variables
  • Sequences
  • Simulations
  • Standards
  • Steady State
  • Stochastic Processes
  • Topology
  • United States

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Electronics Engineering
  • Graph Algorithms and Convex Optimization.

Technology Areas

  • Space