Comparing stochastic systems using regenerative simulation with common random numbers

DOI10.2307/1426860MaRDI QIDQ3873276zbMATH OpenOpenAlexFDO

Authors Philip Heidelberger, Donald L. Iglehart

Publication date 1979

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1426860

zbMATH Keywords

central limit theoremcommon random numbersregenerative methodsimulationstatistical estimationvariance reduction

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Theory of software (68N99)

Cited in

(9)

• Regenerative structure of Markov chains simulated via common random numbers
• Some properties of simulation interval estimators under dependence induction
• Simulation methods of queues: An overview
• Rates of convergence of ordinal comparison for dependent discrete event dynamic systems
• Efficiency improvement techniques
• Correlation-inducing variance reduction in regenerative simulation
• Hidden Markov model steady-state estimation
• Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions
• The power of alternative Kolmogorov-Smirnov tests based on transformations of the data

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