On the exact simulation of functionals of stationary Markov chains (Q1434430): Difference between revisions

The technique of perfect sampling is described for the stationary distributions of Markov chains with finite state space. Algorithms of backward-coupling simulation are presented. These algorithms are applied to the analysis of a communication system of Erlang type with resource sharing with reset and to the queuing network with blocking and priorities. Numerical results on the performance of considered systems are presented.