Article contents
A Martingale Approach to Regenerative Simulation*
Published online by Cambridge University Press: 27 July 2009
Abstract
The standard regenerative method for estimating steady-state parameters is extended to permit cycles that begin and end in different states. This result is established using the Dynkin martingale and a related solution to Poisson's equation. We compare the variance constant that appears in the associated central limit theorem with that arising from cycles that begin and end in the same state. The standard regenerative method has a smaller variance constant than does the alternative.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 9 , Issue 1 , January 1995 , pp. 123 - 131
- Copyright
- Copyright © Cambridge University Press 1995
References
1.Glynn, P.W. (1984). Some asymptotic formulas for Markov chains with applications to simulation. Journal of Statistical Computer Simulation 19: 97–112.CrossRefGoogle Scholar
2.Iglehart, D.L. (1978). The regenerative method for simulation analysis. In Chandy, K.M. & Yeh, R.T. (eds.). Current trends in programming methodology. Vol. III: Software modeling. Englewood Cliffs, NJ: Prentice-Hall, chapter 2, pp. 52–71.Google Scholar
3.Karlin, S. & Taylor, H.M. (1981). A second course in stochastic processes. New York: Academic Press.Google Scholar
- 1
- Cited by