Accelerated Convergence in the Simulation of Countably Infinite State Markov Chains

DOI10.1287/OPRE.31.6.1074MaRDI QIDQ3038332zbMATH OpenOpenAlexFDO

Authors 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

bound on variancerotation samplingvariance reducing

Mathematics Subject Classification ID

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

Cited in

(3)

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

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