Accelerated Convergence in the Simulation of Countably Infinite State Markov Chains

DOI10.1287/OPRE.31.6.1074zbMath0525.60073OpenAlexW1973615523MaRDI QIDQ3038332

George S. Fishman

Publication date: 1983

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.31.6.1074

zbMATH Keywords

rotation samplingbound on variancevariance reducing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (3)

Variance Reduction Techniques for Digital Simulation ⋮ Variance reduction algorithms for parallel replicated simulation of uniformized Markov chains ⋮ Anthithetic-variate splitting for steady-state simulations

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