Discrete-time conversion for simulating semi-Markov processes

DOI10.1016/0167-6377(86)90076-3MaRDI QIDQ1088305zbMATH OpenOpenAlexFDO

Authors Bennett L. Fox, Peter W. Glynn

Publication date 1986

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

Full work available at URL https://doi.org/10.1016/0167-6377(86)90076-3

zbMATH Keywords

semi-Markov processsimulationvariance reduction

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Review text

We simulate long-run averages of time integrals of a recurrent semi- Markov process efficiently. Converting to discrete-time by simulating only an imbedded chain and computing the conditional expectations of everything else needed given the sequence of states visited reduces asymptotic variance, eliminates generating holding-time variates, and (when advantageous) gets rid of the future event schedule. In this setting, uniformizing continuous-time Markov chains is not worthwhile. We generalize beyond semi-Markov processes and cut ties to regenerative simulation methodology. Implementation of discrete-time conversion is discussed. It often requires no more work or even less work than the naive method. We give sufficient conditions for work savings. Continuous-time Markov chains, for example, satisfy them.

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Cites work

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Cited in

(9)

• Simulation methods of queues: An overview
• Using a standard clock technique for efficient simulation
• Guaranteed approximation of Markov chains with applications to multiplexer engineering in ATM networks
• Efficiency improvement techniques
• Accelerated regeneration for Markov chain simulations
• A perspective on variance reduction in dynamic simulation experiments
• Estimating the Mean Cover Time of a Semi-Markov Process via Simulation
• Approximations of semi-Markov processes and insurance policy valuation
• Discrete-time ``inversion and derivative estimation for Markov chains

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