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)

Review text

The authors focus on a versatile class of Harris-recurrent Markov chains, called TES (Transform-Expand-Sample). TES processes can generate a variety of sample paths with arbitrary marginal distributions, and autocorrelation functions with a variety of functional forms (monotone, oscillating and alternating). A practical advantage of TES processes is that they can simultaneously capture the first and second order statistics of empirical sample paths. TES modeling methodology can simultaneously match the empirical marginal distribution (histogram), as well as approximate the empirical autocorrelation function. The autocorrelation function of a TES process can be computed from fast numerical formulas without requiring simulation. Furthermore, Monte Carlo generation methods of TES sample paths are very fast and have longer periods than the underlying pseudorandom number generator. These favorable computational properties are important in interactive modeling, since the numerical computations are much faster than the corresponding calculations of simulation-based statistics. A brief summary of the regenerative method and some of its ramifications is proposed. The special case of Harris chains is surveyed with special emphasis on the identification of regeneration points in special systems such as queues. A construction procedure of TES regeneration points is defined. The paper contains a special case study of a G/GI/1 queue, which is denoted by TES/M/1, where the likelihood ratio method is used to calculate the mean waiting time performance as a function of the intrinsic TES parameter controlling burstiness (magnitude of autocorrelation) in the arrival process, and the score function method is used to estimate the corresponding sensitivity with respect to the service rate.

Recommendations

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

Cites work

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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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