A martingale approach to regenerative simulation

DOI10.1017/S0269964800003727MaRDI QIDQ2805312zbMATH OpenOpenAlexFDO

Authors Donald L. Iglehart, Peter W. Glynn

Publication date 11 May 2016

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800003727

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Renewal theory (60K05)

Recommendations

• Notes: Conditions for the Applicability of the Regenerative Method
• Some topics in regenerative steady-state simulation
• Estimation of steady-state central moments by the regenerative method of simulation
• Correlation-inducing variance reduction in regenerative simulation
• Regenerative steady-state simulation of discrete-event systems

Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• Some asymptotic formulas for markov chains with applications to simulation^†

Cited in

(7)

• Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions
• Multivariate Estimation of Conditional Performance Measures in Regenerative Simulation
• Derandomizing variance estimators
• Notes: Conditions for the Applicability of the Regenerative Method
• Accelerated regeneration for Markov chain simulations
• Estimation of steady-state central moments by the regenerative method of simulation
• Nonexistence of a class of variate generation schemes.

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