Density Estimators of the Cumulative Reward Up to a Hitting Time to a Rarely Visited Set of a Regenerative System
Document Type
Conference Proceeding
Publication Date
1-1-2022
Abstract
For a regenerative process, we propose various estimators of the density function of the cumulative reward up to hitting a rarely visited set of states. The approaches exploit existing weak-convergence results for the hitting-time distribution, and we apply simulation (often with previously developed importance samplers for estimating the mean) to estimate parameters of the limiting distribution. We also combine these ideas with kernel methods. Numerical results from simulation experiments show the effectiveness of the estimators.
Identifier
85147452178 (Scopus)
ISBN
[9798350309713]
Publication Title
Proceedings Winter Simulation Conference
External Full Text Location
https://doi.org/10.1109/WSC57314.2022.10015238
ISSN
08917736
First Page
121
Last Page
132
Volume
2022-December
Fund Ref
National Science Foundation
Recommended Citation
Nakayama, Marvin K. and Tuffin, Bruno, "Density Estimators of the Cumulative Reward Up to a Hitting Time to a Rarely Visited Set of a Regenerative System" (2022). Faculty Publications. 3510.
https://digitalcommons.njit.edu/fac_pubs/3510
