Regenerative simulation of TES processes

DOI10.1007/BF00994268zbMath0804.65146OpenAlexW1974957836MaRDI QIDQ1323530

Benjamin Melamed, Soren Asmussen

Publication date: 22 January 1995

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00994268

zbMATH Keywords

order statisticsautocorrelation functionpseudorandom number generatorinteractive modelingHarris-recurrent Markov chainsregenerative methodlikelihood ratio methodG/GI/1 queueMonte Carlo generation methodsTES processesTES sample pathstransform-expand-sample

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Monte Carlo methods (65C05) Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Renewal theory (60K05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Sensitivity analysis of regenerative queuing models ⋮ Accelerated Regeneration for Markov Chain Simulations

Cites Work

• Queues as Harris recurrent Markov chains
• Simulation methods of queues: An overview
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
• An introduction to the regenerative method for simulation analysis
• Some topics in regenerative steady-state simulation
• Response surface estimation and sensitivity analysis via efficient change of measure
• Validating the heavy traffic performance of regenerative simulation
• Minification processes and their transformations
• A Markov chain approach to periodic queues
• The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models
• The transition and autocorrelation structure of tes processes
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• Queueing Simulation in Heavy Traffic
• TES modeling for analysis of a video multiplexer
• A conservation property for general GI/G/1 queues with an application to tandem queues
• The spectral structure of tes processes
• Regenerative rare events simulation via likelihood ratios
• The Impact of Autocorrelation on Queuing Systems
• The transition and autocorrelation structure of tes processes
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