Importance sampling using the semi-regenerative method

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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 languageEnglish (US)
Pages (from-to)441-450
Number of pages10
JournalWinter Simulation Conference Proceedings
Volume1
StatePublished - Dec 1 2001
EventProceedings of the 2001 Winter Simulation Conference - Arlington, VA, United States
Duration: Dec 9 2001Dec 12 2001

All Science Journal Classification (ASJC) codes

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

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