Importance sampling using the semi-regenerative method

Document Type

Conference Proceeding

Publication Date

12-1-2001

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.

Identifier

0035691484 (Scopus)

Publication Title

Winter Simulation Conference Proceedings

ISSN

02750708

First Page

441

Last Page

450

Volume

1

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