Using permutations in regenerative simulations to reduce variance

DOI10.1145/280265.280273zbMath0922.65102OpenAlexW2003624153MaRDI QIDQ4241212

Marvin K. Nakayama, James M. Calvin

Publication date: 10 October 1999

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/280265.280273

zbMATH Keywords

permutationsalgorithmsnumerical examplesperformance measuresvariance reductionestimatorefficiency improvementregenerative simulation

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

ASYMPTOTIC VARIANCE OF PASSAGE TIME ESTIMATORS IN MARKOV CHAINS ⋮ Permuted derivative and importance-sampling estimators for regenerative simulations. ⋮ Resampled Regenerative Estimators

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