Extensions of the regenerative method to new functionals
Abstract
This paper briefly reviews the regenerative method for steady-state simulation, and then shows how regenerative structure can be used computationally to develop new estimators for the spectral density, moments of hitting times, and both discounted and average reward value functions. All our estimators typically exhibit the Monte Carlo method's usual "square root" convergence rate. This is in contrast to the usual sub-square root rate exhibited by, for example, spectral density estimators in the absence of regenerative structure.
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- Extensions of the regenerative method to new functionals
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Published In
December 2016
3974 pages
ISBN:9781509044849
- General Chair:
- Todd Huschka,
- Program Chair:
- Stephen E. Chick
Sponsors
- IIE: Institute of Industrial Engineers
- INFORMS-SIM: Institute for Operations Research and the Management Sciences: Simulation Society
- SIGSIM: ACM Special Interest Group on Simulation and Modeling
- SCS: Society for Modeling and Simulation International
In-Cooperation
- SAS
- AnyLogic: The AnyLogic Company
- Palgrave: Palgrave Macmillan
- FlexSim: FlexSim Software Products, Inc.
- ASA: American Statistical Association
- IEEE/SMC: Institute of Electrical and Electronics Engineers: Systems, Man, and Cybernetics Society
- Simio: Simio LLC
- ODU: Old Dominion University
- ASIM: Arbeitsgemeinschaft Simulation
- ExtendSim: ExtendSim
- NIST: National Institute of Standards & Technology
- Amazon Simulations: Amazon Simulations
Publisher
IEEE Press
Publication History
Published: 11 December 2016
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- INFORMS-SIM
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- SCS
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