Accelerated regeneration for Markov chain simulations

DOI10.1017/S0269964800004022MaRDI QIDQ2808286zbMATHFDO

Authors Sigrún Andradóttir, James M. Calvin, Peter W. Glynn

Publication date 23 May 2016

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

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Recommendations

• Simulation of processes with multiple regeneration sequences
• Using permutations in regenerative simulations to reduce variance
• Return-State Independent Quantities in Regenerative Simulation
• The semi-regenerative method of simulation output analysis
• A martingale approach to regenerative simulation

Cites work

• scientific article; zbMATH DE number 3462924 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A New Approach to the Limit Theory of Recurrent Markov Chains
• A Renewal Theoretic Approach to Bias Reduction in Regenerative Simulations
• A splitting technique for Harris recurrent Markov chains
• Analysis of parallel replicated simulations under a completion time constraint
• Construction of a stationary regenerative process
• Discrete-time conversion for simulating semi-Markov processes
• Regenerative simulation of TES processes
• Return-State Independent Quantities in Regenerative Simulation
• Some topics in regenerative steady-state simulation

Cited in

(6)

• Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions
• Simulation of processes with multiple regeneration sequences
• scientific article; zbMATH DE number 4047030 (Why is no real title available?)
• Derandomizing variance estimators
• Nonexistence of a class of variate generation schemes.
• Regenerative structure of Markov chains simulated via common random numbers

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