On confidence intervals for cyclic regenerative processes

Authors:
Peter W. Glynn
Affiliations:
Mathematics Research Center, University of Wisconsin-Madison, Madison, WI 53706, U.S.A.
Venue:
Operations Research Letters
Year:
1983

Citing 2
Cited 0

An Introduction to the Regenerative Method for Simulation Analysis

An Introduction to the Regenerative Method for Simulation Analysis
Cyclic regenerative method of simulation

Operations Research Letters

Quantified Score

Hi-index	0.00

Visualization

Abstract

We study precise conditions under which the cyclic regenerative confidence intervals of Sargent and Shanthikumar are asymptotically valid. We also obtain an optimal way of implementing the cyclic regenerative variance reduction technique, and obtain a sufficient condition under which the procedure yields a lower variance than that of the standard regenerative method.