Regenerative simulation of TES processes

DOI10.1007/BF00994268MaRDI QIDQ1323530zbMATH OpenOpenAlexFDO

Authors Benjamin Melamed, Søren Asmussen

Publication date 22 January 1995

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00994268

zbMATH Keywords

order statisticsautocorrelation functionpseudorandom number generatorinteractive modelingHarris-recurrent Markov chainsregenerative methodlikelihood ratio methodG/GI/1 queueMonte Carlo generation methodsTES processesTES sample pathstransform-expand-sample

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Foundations and philosophical topics in statistics (62A01) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 439951 (Why is no real title available?)
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• scientific article; zbMATH DE number 108577 (Why is no real title available?)
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• Response surface estimation and sensitivity analysis via efficient change of measure
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• Some topics in regenerative steady-state simulation
• TES modeling for analysis of a video multiplexer
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• The Impact of Autocorrelation on Queuing Systems
• The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models
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• The transition and autocorrelation structure of tes processes
• The transition and autocorrelation structure of tes processes
• Validating the heavy traffic performance of regenerative simulation

Cited in

(5)

• Some topics in regenerative steady-state simulation
• Sensitivity analysis of regenerative queuing models
• The run probabilities of tes processes
• Accelerated regeneration for Markov chain simulations
• On Markovian traffic with applications to TES processes

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