New variance-reduction technique for regenerative simulations of Markov chains

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Abstract

We propose a new estimator for some performance measures obtained from a regenerative simulation of a discrete-time Markov chain. Our new estimator is based on the idea of generating (uniform) random permutations of cycles corresponding to a certain state, and it has no larger (and typically smaller) mean squared error than the standard estimator. We show that our method can be used to derive a new estimator for the time-average variance parameter of a regenerative simulation.

Original languageEnglish (US)
Pages (from-to)224-229
Number of pages6
JournalWinter Simulation Conference Proceedings
StatePublished - Dec 1 1997
EventProceedings of the 1997 Winter Simulation Conference - Atlanta, GA, USA
Duration: Dec 7 1997Dec 10 1997

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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