Branching Technique for Markov Chain Simulation (Finite State Case)

DOI10.1080/02331889408802441zbMath0811.62081OpenAlexW2018762601MaRDI QIDQ4763455

Vyacheslav Borisovich Melas

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889408802441

zbMATH Keywords

variance reductionsplitting methodM/M/1 queueing systemMarkov chains simulationoptimal numbers for branchingRussian roulette methodsimulation experimental designvariances of unbiased parameter estimates

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Markov processes: estimation; hidden Markov models (62M05) Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (1)

The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling

Cites Work

• Simulation methods of queues: An overview
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