Discrete-Time Conversion for Simulating Semi-Markov Processes.

Abstract

To simulate long-run averages of time integrals of a recurrent semi-Markov process efficiently, convert to discrete-time by simulating only an imbedded chain and computing the conditional expectations of everything else needed given the sequence of states visited. This reduces asymptotic variance and eliminates generating holding-time variates. In this setting, uniformizing continuous-time Markov chains is not worthwhile. The authors generalize beyond semi-Markov process and cut ties to regenerative simulation methodology. Keywords: Conditional Monte Carlo approach. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1985
Accession Number
ADA161007

Entities

People

  • B. L. Fox

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Classification
  • Contracts
  • Conversion
  • Engineering
  • Industrial Engineering
  • Integrals
  • Markov Chains
  • Markov Processes
  • Mathematics
  • North Carolina
  • Operations Research
  • Probability
  • Sequences
  • Simulations
  • United States
  • Universities
  • Wisconsin

Fields of Study

  • Mathematics

Readers

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