New variance-reduction technique for regenerative simulations of Markov chains
Document Type
Conference Proceeding
Publication Date
12-1-1997
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.
Identifier
0031356299 (Scopus)
Publication Title
Winter Simulation Conference Proceedings
ISSN
02750708
First Page
224
Last Page
229
Recommended Citation
Calvin, James M. and Nakayama, Marvin K., "New variance-reduction technique for regenerative simulations of Markov chains" (1997). Faculty Publications. 16618.
https://digitalcommons.njit.edu/fac_pubs/16618
