Likelihood ratio gradient estimation for stochastic systems
Communications of the ACM - Special issue on simulation
Using permutations in regenerative simulations to reduce variance
ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on modeling and analysis of stochastic systems
Exploiting multiple regeneration sequences in simulation output analysis
Proceedings of the 30th conference on Winter simulation
Central Limit Theorems for Permuted Regenerative Estimators
Operations Research
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
The semi-regenerative method of simulation output analysis
ACM Transactions on Modeling and Computer Simulation (TOMACS)
| Hi-index | 0.00 |
The classical regenerative method of simulation output analysis exploits the regenerative structure of a stochastic process to break up a path into independent and identically distributed cycles based on a single sequence of regeneration times. If a process is regenerative with respect to more than one sequence of regeneration times, the classical regenerative method does not exploit the additional structure, and the variance of the resulting estimator for certain performance measures (e.g., the time-average variance constant) can vary greatly, depending on the particular regeneration sequence chosen. In a previous article, we introduced an efficiency-improvement technique for regenerative simulation of processes having two sequences of regeneration times based on permuting regenerative cycles associated with the second sequence of regeneration points. In this article, we show how to exploit more than two regeneration sequences. In particular, for birth–death Markov chains, the regenerations associated with hitting times to each state can all be exploited. We present empirical results that show significant variance reductions in some cases, and the results seem to indicate that the permuted estimator for the time-average variance constant can have a variance that is independent of the primary regeneration sequence used to run the simulation.