Variance Reduction Techniques for the Simulation of Markov Processes, I: Multiple Estimates

DOI10.1147/RD.245.0570MaRDI QIDQ3880064zbMATH OpenOpenAlexFDO

Authors Philip Heidelberger

Publication date 1980

Published in IBM Journal of Research and Development (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1147/rd.245.0570

zbMATH Keywords

multiple-server queuequeueing modelssemi-Markov processessimulation of Markov processes

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Cited in

(6)

• Variance reduction techniques for the simulation of Markov process. II: Matrix iterative methods
• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Efficient variance-reduction transformations for the simulation of a ratio of two means: Application to quantum Monte Carlo simulations
• Tutorial
• Multivariate Estimation of Conditional Performance Measures in Regenerative Simulation
• Resampled regenerative estimators

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