Using permutations in regenerative simulations to reduce variance

DOI10.1145/280265.280273MaRDI QIDQ4241212zbMATH OpenOpenAlexFDO

Authors James M. Calvin, Marvin K. Nakayama

Publication date 10 October 1999

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/280265.280273

zbMATH Keywords

algorithmsefficiency improvementestimatornumerical examplesperformance measurespermutationsregenerative simulationvariance reduction

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(12)

• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Correlation-inducing variance reduction in regenerative simulation
• Simulation of processes with multiple regeneration sequences
• Derandomizing variance estimators
• Accelerated regeneration for Markov chain simulations
• Improved estimates and confidence intervals for regenerative simulation
• ASYMPTOTIC VARIANCE OF PASSAGE TIME ESTIMATORS IN MARKOV CHAINS
• Exploiting regenerative structure to estimate finite time averages via simulation
• Resampled regenerative estimators
• Permuted Standardized Time Series for Steady-State Simulations
• Using Rademacher permutations to reduce randomness
• Fast random integer generation in an interval

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