Branching Technique for Markov Chain Simulation (Finite State Case)

DOI10.1080/02331889408802441MaRDI QIDQ4763455zbMATH OpenOpenAlexFDO

Authors Viatcheslav B. Melas

Publication date 10 April 1995

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889408802441

zbMATH Keywords

variance reductionsplitting methodM/M/1 queueing systemMarkov chains simulationoptimal numbers for branchingRussian roulette methodsimulation experimental designvariances of unbiased parameter estimates

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queueing theory (aspects of probability theory) (60K25)

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Cites work

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• scientific article; zbMATH DE number 3850316 (Why is no real title available?)
• scientific article; zbMATH DE number 47728 (Why is no real title available?)
• scientific article; zbMATH DE number 3190745 (Why is no real title available?)
• Simulation methods of queues: An overview

Cited in

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• The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
• scientific article; zbMATH DE number 4058587 (Why is no real title available?)

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