Simulation of processes with multiple regeneration sequences (Q2711574)

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. However, many stochastic processes arising in practice are regenerative with respect to more than one sequence of regeneration times. NEWLINENEWLINENEWLINEIn this paper it is shown how to exploit regeneration sequences simultaneously when there are more than two such sequences. Aside the algorithms and their theoretical study the authors presents numerical results that show that permuting all possible regeneration sequences can yield large variance reduction (up to a factor 66 in their experiments). Aside that, confidence intervals for the suggested estimators are constructed.