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

autocorrelation functionG/GI/1 queueHarris-recurrent Markov chainsinteractive modelinglikelihood ratio methodMonte Carlo generation methodsorder statisticspseudorandom number generatorregenerative methodTES processesTES sample pathstransform-expand-sample

Mathematics Subject Classification ID

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

Recommendations

• The transition and autocorrelation structure of tes processes
• Algorithmic modeling of TES processes
• The empirical TES methodology: Modeling empirical time series

Cites work

• A conservation property for general GI/G/1 queues with an application to tandem queues
• A Markov chain approach to periodic queues
• An introduction to the regenerative method for simulation analysis
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
• scientific article; zbMATH DE number 439951 (Why is no real title available?)
• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 108577 (Why is no real title available?)
• scientific article; zbMATH DE number 4184999 (Why is no real title available?)
• Minification processes and their transformations
• Queueing Simulation in Heavy Traffic
• Queues as Harris recurrent Markov chains
• Regenerative rare events simulation via likelihood ratios
• Response surface estimation and sensitivity analysis via efficient change of measure
• Simulation methods of queues: An overview
• 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 efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models
• The Impact of Autocorrelation on Queuing Systems
• The spectral structure of tes processes
• 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

(6)

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

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