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A Martingale Approach to Regenerative Simulation*

Published online by Cambridge University Press:  27 July 2009

Peter W. Glynn  and
Donald L. Iglehart
Peter W. Glynn
Affiliation:
Department of Operations Research, Stanford University, Stanford, California 94305
Donald L. Iglehart
Affiliation:
Department of Operations Research, Stanford University, Stanford, California 94305
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Abstract

The standard regenerative method for estimating steady-state parameters is extended to permit cycles that begin and end in different states. This result is established using the Dynkin martingale and a related solution to Poisson's equation. We compare the variance constant that appears in the associated central limit theorem with that arising from cycles that begin and end in the same state. The standard regenerative method has a smaller variance constant than does the alternative.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 9 , Issue 1 , January 1995 , pp. 123 - 131
Copyright
Copyright © Cambridge University Press 1995

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References

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