Accelerated Accuracy in the Simulation of Markov Chains

DOI10.1287/opre.31.3.466zbMath0511.60068OpenAlexW2098481471MaRDI QIDQ4748934

George S. Fishman

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1287/opre.31.3.466

zbMATH Keywords

parallel simulationrecurrent aperiodic Markov chainvariance reducing technique

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Variance Reduction Techniques for Digital Simulation, Variance reduction algorithms for parallel replicated simulation of uniformized Markov chains, Anthithetic-variate splitting for steady-state simulations