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Accelerated Regeneration for Markov Chain Simulations
Accelerated Regeneration Markov Chain Simulations
2015/7/8
This paper describes a generalization of the classical regenerative method of simulation output analysis. Instead of blocking a generated sample path on returns to a fixed return state, a more general...
On the Small-Sample Optimality of Multiple-Regeneration Estimators
Small-Sample Optimality Multiple-Regeneration Estimators
2015/7/8
We describe a simulation output analysis methodology suitable for stochastic processes that are regenerative with respect to multiple regeneration sequences. Our method exploits this structure to cons...