Regenerative structure of Markov chains simulated via common random numbers

DOI10.1016/0167-6377(85)90031-8zbMath0576.60082OpenAlexW1980502066MaRDI QIDQ1064678

Peter W. Glynn

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0167-6377(85)90031-8

zbMATH Keywords

renewal processesefficiency of simulationsirreducible positive recurrent Markov chainsimulatingstatistical analysis of simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov processes (60J99) Renewal theory (60K05)

Related Items (6)

Some properties of simulation interval estimators under dependence induction ⋮ Honest exploration of intractable probability distributions via Markov chain Monte Carlo. ⋮ Coupling control variates for Markov chain Monte Carlo ⋮ Coupling based estimation approaches for the average reward performance potential in Markov chains ⋮ Efficiency improvement techniques ⋮ Correlation-inducing variance reduction in regenerative simulation

Cites Work

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• Regenerative stochastic processes
• Comparing stochastic systems using regenerative simulation with common random numbers
• Criteria for classifying general Markov chains
• A splitting technique for Harris recurrent Markov chains
• Uniform rates of convergence for Markov chain transition probabilities
• A New Approach to the Limit Theory of Recurrent Markov Chains

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