Variance Reduction Techniques for the Simulation of Markov Processes. III. Increasing the Frequency of Regenerations.
STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH
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One of the main difficulties with the regenerative method of simulation is that even though a process may be known to be regenerative, regenerations may occur quite infrequently. A class of methods, based on Dynkins formula, is considered that increases the frequency of regenerations when the process being simulated is a Markov chain. Instead of simulating the original Markov chain, a new Markov chain is simulated from which point estimates and confidence intervals for parameters of the original chains stationary distribution may be formed. Because regenerations occur more frequently in the new chain, such confidence intervals will usually be shorter than is otherwise possible. Author
- Statistics and Probability