Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations

DOI10.1287/opre.23.1.33zbMath0346.60060OpenAlexW2117219141MaRDI QIDQ4115893

Publication date: 1975

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

Full work available at URL: https://doi.org/10.1287/opre.23.1.33

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (40)

Regenerative Markov Chain Monte Carlo for Any Distribution ⋮ Hidden Markov model steady-state estimation ⋮ Bayesian networks: regenerative Gibbs samplings ⋮ Estimation methods for passage times using one-dependent cycles ⋮ Discrete time analysis of a slotted transmission system ⋮ Bootstrap confidence intervals for simulation outputs ⋮ Using Markov chains to analyze the effectiveness of local search algorithms ⋮ Statistical process control using level crossings ⋮ Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis ⋮ Weak convergence for generalized semi-Markov processes ⋮ Unnamed Item ⋮ Steady-state sample path derivative estimators ⋮ Multivariate estimation in regenerative simulation ⋮ The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis ⋮ Cyclic regenerative method of simulation ⋮ Honest exploration of intractable probability distributions via Markov chain Monte Carlo. ⋮ Rare event simulation for steady-state probabilities via recurrency cycles ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ Stochastic quasigradient methods for optimization of discrete event systems ⋮ Variance estimation and sequential stopping in steady-state simulations using linear regression ⋮ Functional Estimation for a Multicomponent Age Replacement Model ⋮ Response-time simulation of multivariate point process models for multiprogrammed jobstreams ⋮ Estimation of integrals with respect to infinite measures using regenerative sequences ⋮ Multivariate Estimation of Conditional Performance Measures in Regenerative Simulation ⋮ Optimal recovery in a system for the management of centralized data ⋮ Discrete event simulation modelling of computer systems for performance evaluation ⋮ Layer Sampling ⋮ Variance reduction techniques for the simulation of Markov process. II: Matrix iterative methods ⋮ On the estimation of optimal batch sizes in the analysis of simulation output ⋮ Regenerative Markov Chain Importance Sampling ⋮ The inspection paradox in renewal-reward processes ⋮ Extended dynamic partial-overlapping batch means estimators for steady-state simulations ⋮ Variance reduction for sensitivity estimates obtained from regenerative simulation ⋮ Consistency of infinitesimal perturbation analysis for the GI/G/m queue ⋮ Multivariate Simulation Output Analysis ⋮ Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions ⋮ Resampled Regenerative Estimators ⋮ The Power of Alternative Kolmogorov-Smirnov Tests Based on Transformations of the Data ⋮ On Transience and Recurrence in Irreducible Finite-State Stochastic Systems ⋮ Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations

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