New variance-reduction technique for regenerative simulations of Markov chains

James M. Calvin; Marvin K. Nakayama

New variance-reduction technique for regenerative simulations of Markov chains

James M. Calvin, Marvin K. Nakayama

Computer Science

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

1 Scopus citations

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 language	English (US)
Pages (from-to)	224-229
Number of pages	6
Journal	Winter Simulation Conference Proceedings
State	Published - 1997
Event	Proceedings of the 1997 Winter Simulation Conference - Atlanta, GA, USA Duration: Dec 7 1997 → Dec 10 1997

All Science Journal Classification (ASJC) codes

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

Cite this

@article{7e68e6547eab4f20b1dcaee3abf91b92,

title = "New variance-reduction technique for regenerative simulations of Markov chains",

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.",

author = "Calvin, \{James M.\} and Nakayama, \{Marvin K.\}",

year = "1997",

language = "English (US)",

pages = "224--229",

journal = "Winter Simulation Conference Proceedings",

issn = "0275-0708",

note = "Proceedings of the 1997 Winter Simulation Conference ; Conference date: 07-12-1997 Through 10-12-1997",

}

TY - JOUR

T1 - New variance-reduction technique for regenerative simulations of Markov chains

AU - Calvin, James M.

AU - Nakayama, Marvin K.

PY - 1997

Y1 - 1997

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/0031356299

UR - https://www.scopus.com/inward/citedby.url?scp=0031356299&partnerID=8YFLogxK

M3 - Conference article

AN - SCOPUS:0031356299

SN - 0275-0708

SP - 224

EP - 229

JO - Winter Simulation Conference Proceedings

JF - Winter Simulation Conference Proceedings

T2 - Proceedings of the 1997 Winter Simulation Conference

Y2 - 7 December 1997 through 10 December 1997

ER -

New variance-reduction technique for regenerative simulations of Markov chains

Abstract

All Science Journal Classification (ASJC) codes

Other files and links

Fingerprint

Cite this