Simulation of processes with multiple regeneration sequences

DOI10.1017/S0269964800142056MaRDI QIDQ2711574zbMATH OpenFDO

Authors James M. Calvin, Marvin K. Nakayama

Publication date 29 November 2001

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0269964800142056

zbMATH Keywords

algorithmsbirth-death Markov processesconfidence intervalsMonte Carlo methodnumerical resultsregeneration sequencesregenerative methodvariance reduction

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Queueing theory (aspects of probability theory) (60K25) Discrete event control/observation systems (93C65)

Review text

The classical regenerative method of simulation output analysis exploits the regenerative structure of a stochastic process to break up a path into independent and identically distributed cycles based on a single sequence of regeneration times. However, many stochastic processes arising in practice are regenerative with respect to more than one sequence of regeneration times. NEWLINENEWLINENEWLINEIn this paper it is shown how to exploit regeneration sequences simultaneously when there are more than two such sequences. Aside the algorithms and their theoretical study the authors presents numerical results that show that permuting all possible regeneration sequences can yield large variance reduction (up to a factor 66 in their experiments). Aside that, confidence intervals for the suggested estimators are constructed.

Recommendations

• The semi-regenerative method of simulation output analysis
• Using permutations in regenerative simulations to reduce variance
• Return-State Independent Quantities in Regenerative Simulation
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• Correlation-inducing variance reduction in regenerative simulation

Cited in

(10)

• Regenerative structure of Markov chains simulated via common random numbers
• Some topics in regenerative steady-state simulation
• Processes with long memory: Regenerative construction and perfect simulation
• Accelerated regeneration for Markov chain simulations
• scientific article; zbMATH DE number 4174889 (Why is no real title available?)
• Return-State Independent Quantities in Regenerative Simulation
• The semi-regenerative method of simulation output analysis
• The blind simulation problem and regenerative processes
• Estimation Methods for Delays in Non-regenerative Discrete-Event Systems
• Resampled regenerative estimators

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