Steady state simulation analysis: importance sampling using the semi-regenerative method

Authors:
James M. Calvin;Peter W. Glynn;Marvin K. Nakayama
Affiliations:
New Jersey Institute of Technology, Newark, New Jersey;Stanford University, Stanford, CA;New Jersey Inst. of Technology, Newark, New Jersey
Venue:
Proceedings of the 33nd conference on Winter simulation
Year:
2001

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Abstract

We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain on a countable state space. We develop a general theory for this problem and present several central limit theorems for our estimators. We also present some empirical results from applying these techniques to simulate a reliability model.