Importance sampling using the semi-regenerative method

James M. Calvin; Peter W. Glynn; Marvin K. Nakayama

Importance sampling using the semi-regenerative method

James M. Calvin, Peter W. Glynn, Marvin K. Nakayama

Computer Science

Research output: Contribution to journal › Conference article › peer-review

3 Scopus citations

Abstract

We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain on a countable state space. We develop a general theory for this problem and present several central limit theorems for our estimators. We also present some empirical results from applying these techniques to simulate a reliability model.

Original language	English (US)
Pages (from-to)	441-450
Number of pages	10
Journal	Winter Simulation Conference Proceedings
Volume	1
State	Published - 2001
Event	Proceedings of the 2001 Winter Simulation Conference - Arlington, VA, United States Duration: Dec 9 2001 → Dec 12 2001

All Science Journal Classification (ASJC) codes

Software
Modeling and Simulation
Safety, Risk, Reliability and Quality
Chemical Health and Safety
Applied Mathematics

Cite this

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title = "Importance sampling using the semi-regenerative method",

abstract = "We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain on a countable state space. We develop a general theory for this problem and present several central limit theorems for our estimators. We also present some empirical results from applying these techniques to simulate a reliability model.",

author = "Calvin, {James M.} and Glynn, {Peter W.} and Nakayama, {Marvin K.}",

year = "2001",

language = "English (US)",

volume = "1",

pages = "441--450",

journal = "Winter Simulation Conference Proceedings",

issn = "0275-0708",

note = "Proceedings of the 2001 Winter Simulation Conference ; Conference date: 09-12-2001 Through 12-12-2001",

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TY - JOUR

T1 - Importance sampling using the semi-regenerative method

AU - Calvin, James M.

AU - Glynn, Peter W.

AU - Nakayama, Marvin K.

PY - 2001

Y1 - 2001

N2 - We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain on a countable state space. We develop a general theory for this problem and present several central limit theorems for our estimators. We also present some empirical results from applying these techniques to simulate a reliability model.

AB - We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain on a countable state space. We develop a general theory for this problem and present several central limit theorems for our estimators. We also present some empirical results from applying these techniques to simulate a reliability model.

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UR - http://www.scopus.com/inward/citedby.url?scp=0035691484&partnerID=8YFLogxK

M3 - Conference article

AN - SCOPUS:0035691484

SN - 0275-0708

VL - 1

SP - 441

EP - 450

JO - Winter Simulation Conference Proceedings

JF - Winter Simulation Conference Proceedings

T2 - Proceedings of the 2001 Winter Simulation Conference

Y2 - 9 December 2001 through 12 December 2001

ER -

Importance sampling using the semi-regenerative method

Abstract

All Science Journal Classification (ASJC) codes

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