Some topics in regenerative steady-state simulation
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The paper is planned as a ``short introduction to the regenerative method of steady-state simulation output analysis and contains two groups of results. The first of them deals with the continuous-time Markov processes. It is shown that the steady-state simulation problem for the process is well-posed (in a certain sense) if and only if the process is positive Harris recurrent. The regenerative structure of such process is then used for the estimation of its steady-state. Another set of results concerns with the classical regenerative process and ``describes a bias reduction algorithm that takes advantage of regenerative structure.
Recommendations
- scientific article; zbMATH DE number 487653
- Regenerative steady-state simulation of discrete-event systems
- scientific article; zbMATH DE number 108577
- Regenerative simulation of TES processes
- Simulation of processes with multiple regeneration sequences
- Empirical performance of bias-reducing estimators for regenerative steady-state simulations
- Stochastic optimization of regenerative systems using infinitesimal perturbation analysis
- Return-State Independent Quantities in Regenerative Simulation
- The semi-regenerative method of simulation output analysis
Cites work
- scientific article; zbMATH DE number 3858118 (Why is no real title available?)
- scientific article; zbMATH DE number 4047030 (Why is no real title available?)
- scientific article; zbMATH DE number 3236503 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- scientific article; zbMATH DE number 3388298 (Why is no real title available?)
- Mesure invariante sur les classes r�currentes des processus de Markov
- One-Dependent Regenerative Processes and Queues in Continuous Time
- Stationarity detection in the initial transient problem
Cited in
(33)- Regenerative structure of Markov chains simulated via common random numbers
- Estimation of steady-state central moments by the regenerative method of simulation
- Regenerative simulation of TES processes
- Nonexistence of a class of variate generation schemes.
- On the biological foundation of risk preferences
- Sensitivity analysis of regenerative queuing models
- Estimation methods for passage times using one-dependent cycles
- Accelerated consistent estimation of a high load probability in \(M/G/1\) and \(GI/G/1\) queues
- Large deviation asymptotics and control variates for simulating large functions
- Further criteria for positive Harris recurrence of Markov chains
- A martingale approach to regenerative simulation
- Accelerated regeneration for Markov chain simulations
- Optimality of mixed policies for average continuous-time Markov decision processes with constraints
- Application of splitting to failure estimation in controllable degradation system
- scientific article; zbMATH DE number 4047030 (Why is no real title available?)
- Wide-sense regeneration for Harris recurrent Markov processes: an open problem
- Asymptotic Formulas for Markov Processes with Applications to Simulation
- scientific article; zbMATH DE number 108577 (Why is no real title available?)
- scientific article; zbMATH DE number 176302 (Why is no real title available?)
- scientific article; zbMATH DE number 1228724 (Why is no real title available?)
- scientific article; zbMATH DE number 487653 (Why is no real title available?)
- Notes: Conditions for the Applicability of the Regenerative Method
- Regenerative steady-state simulation of discrete-event systems
- Empirical performance of bias-reducing estimators for regenerative steady-state simulations
- The semi-regenerative method of simulation output analysis
- The blind simulation problem and regenerative processes
- Stationarity detection in the initial transient problem
- Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions
- Markov processes with restart
- Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
- Efficient Simulation via Coupling
- Three-level modeling of a speed-scaling supercomputer
- Space-grid approximations of hybrid stochastic differential equations and first-passage properties
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