Accelerated Accuracy in the Simulation of Markov Chains

DOI10.1287/OPRE.31.3.466MaRDI QIDQ4748934zbMATH OpenOpenAlexFDO

Authors 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

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

Cited in

(3)

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

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