Nonexistence of a class of variate generation schemes

Authors:
Shane G. Henderson;Peter W. Glynn
Affiliations:
School of Operations Research and Industrial Engineering, Cornell University, 230 Rhodes Hall, 14853, Ithaca NY, USA;Management Science and Engineering Department, Terman Engineering Center, Stanford University, Stanford, CA 94305-4026, USA
Venue:
Operations Research Letters
Year:
2003

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Abstract

Motivated by a problem arising in the regenerative analysis of discrete-event system simulation, we ask whether a certain class of random variate generation schemes exists or not. Under very reasonable conditions, we prove that such variate generation schemes do not exist. The implications of this result for regenerative steady-state simulation of discrete-event systems are discussed.