Correlation-inducing variance reduction in regenerative simulation
Let \(\mathcal X = \big\{\mathbf X(t), t\geq0\big\}\) be a multidimensional regenerative process in continuous time, and let \(\big\{T_k\mid k\geq0\big\}\) be a sequence of regenerative points associated with \(\mathcal X\). Let \(\tau_k= T_k-T_{k-1}, k\geq1\), be the length of cycle of the process \(\mathcal X\). Under mild regularity conditions the process \(\mathcal X\) has a limiting distribution; that is \(\mathbf X(t)\to\mathbf X\) as \(t\to\infty\). Suppose that we are interested in estimating the expected value of \(f\big(\mathbf X(t)\big)\) in the long run, where \(f\) is a real-valued integrable function. The authors use (Shelder's) strongly consistent point estimator of \(r(f)=\lim_{t\to\infty} E\big(f(\mathbf X(t))\big)\) \[ \widehat r\big(n;f\big)={\frac{\overline Y(n)}{\overline \tau(n)}}= {\frac{n^{-1}\sum_{k=1}^{n} Y_k(f)}{n^{-1}\sum_{k=1}^{n} \tau_k}}, \] where \[ Y_k(f)=\int_{T_{k-1}}^{T_k} f\big(\mathbf X(u)\big) du,\qquad 1\leq k\leq n, \] for a regenerative process in continuous time, and \[ Y_k(f)=\sum_{i=T_{k-1}}^{T_k-1} f\big(\mathbf X(i)\big)\qquad 1\leq k\leq n, \] for a regenerative process in discrete time. The main result is a proposal of a variance reduction technique that can be applied to regenerative simulations. The main difference from the classical approach is that the proposed technique induces correlation between consecutive nonoverlapping pairs of regenerations. It is shown analytically, that under mild conditions the proposed technique is superior to conventional techniques which use independent random numbers between regenerations. Two examples are provided to illustrate that the variance reduction is significant.
- Variance reduction for sensitivity estimates obtained from regenerative simulation
- Using permutations in regenerative simulations to reduce variance
- Variance reduction methods for CONNFFESSIT-like simulations
- Practical variance reduction via regression for simulating diffusions
- Spatially correlated noise and variance minimization in stochastic simulations
- Variance Reduction for Simulated Diffusions
- A perspective on variance reduction in dynamic simulation experiments
- Comparing stochastic systems using regenerative simulation with common random numbers
- Efficiency of the Antithetic Variate Method for Simulating Stochastic Networks
- scientific article; zbMATH DE number 436060 (Why is no real title available?)
- scientific article; zbMATH DE number 3982225 (Why is no real title available?)
- scientific article; zbMATH DE number 4076264 (Why is no real title available?)
- Pseudorandom Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments
- Regenerative simulation of response times in networks of queues
- Regenerative Simulation with Internal Controls
- Regenerative structure of Markov chains simulated via common random numbers
- The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
- Regenerative structure of Markov chains simulated via common random numbers
- Replication splitting and variance for simulating discrete-parameter stochastic processes
- Estimation of steady-state central moments by the regenerative method of simulation
- Variance reduction for sensitivity estimates obtained from regenerative simulation
- Simulation of processes with multiple regeneration sequences
- A martingale approach to regenerative simulation
- Improved estimates and confidence intervals for regenerative simulation
- Estimating Time Averages via Randomly-Spaced Observations
- Using permutations in regenerative simulations to reduce variance
- Exploiting regenerative structure to estimate finite time averages via simulation
- Multivariate Estimation of Conditional Performance Measures in Regenerative Simulation
- Resampled regenerative estimators
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