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Coverage Error for Confidence Intervals Arising in Simulation Output Analysis
Coverage Error Confidence Intervals Arising Simulation Output Analysis
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2015/7/8
Coverage error asymptotics for confidence intervals arising in simulation are discussed~ Asymptotic expansions, to order O(n-1) (n is the sample size), are given for confidence intervals associated wi...
Efficient Monte Carlo Simulation of Security Prices
Efficient Monte Carlo Simulation Security Prices
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2015/7/8
This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between i...
Discretization Error in Simulation of One-dimensional Reflecting Brownian Motion
Discretization Error Simulation One-dimensional Reflecting Brownian Motion
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2015/7/8
This paper is concerned with various aspects of the simulation of one-dimensional reflected (or regulated) Brownian motion. The main result shows that the discretization error associated with the Eule...
Grid-Based Simulation and the Method of Conditional Least Squares
Grid-Based Simulation Method Conditional Least Squares
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2015/7/8
This paper is concerned with the use of simulation to compute the conditional expectations that arise in the method of conditional least squares. Our approach involves performing simulations at each p...
Numerical Computation of Large Deviations Exponents via Simulation
Large deviations simulation regeneration eigenvalue problem,distribution arkov chains
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2015/7/8
Consider the problem of numerically computing the exponential rate at which the tail of the hitting time of a Markov chain to a given set decreases to zero. One approach involves computing the solutio...
Transient Simulation Via Empirically-Based Coupling
Transient Simulation Empirically-Based Coupling
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2015/7/8
In this paper we consider the use of coupling ideas in efficiently computing a certain class of transient performance measures. Specifically, we consider the setting in which the stationary distributi...
Computing Densities for Markov Chains via Simulation
Markov chain density estimator simulation
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2015/7/8
We introduce a new class of density estimators, termed look-ahead density estimators, for performance measures associated with a Markov chain. Look-ahead density estimators are given for both transien...
Two-sided Taboo Limits for Markov Processes and Associated Perfect Simulation
Markov processes Quasi-stationary distribution Eigenvalues Perron{Frobenius theory
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2015/7/8
In this paper, we study the two-sided taboo limit processes that arise when a Markov chain or process is conditioned on staying in some set A for a long period of time. The taboo limit is time-homogen...
Multivariate Standardized Time Series for Steady-State Simulation Output Analysis
Simulation statistical analysis multivariate steady-state output analysi
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2015/7/8
The theory of standardized time series, initially proposed to estimate a single steady-state mean from the output of a simulation, is extended to the case where more than one steady-state mean is to b...
Regenerative Steady-State Simulation of Discrete-Event Systems
Regenerative Steady-State Simulation Discrete-Event Systems
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2015/7/8
The regenerative method possesses certain asymptotic properties that dominate those of other steady-state simulation output analysis methods, such as batch means. Therefore, applying the regenerative ...
Rare-Event Simulation for Infinite Server Queues
Rare-Event Simulation Infinite Server Queues
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2015/7/8
We discuss rare-event simulation methodology for computing tail probabilities for infinite-server queues. Our theoretical discussion also offers some new simulation insights into the change-of-measure...
Approximating Martingales for Variance Reduction in Markov Process Simulation
Variance reduction Markov process simulation martingale
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2015/7/8
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
Simulation Algorithms for Regenerative Processes
Simulation Algorithms Regenerative Processes
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2015/7/6
This chapter is concerned with reviewing the basic ideas and concepts underlying the use of regenerative structure in the development of efficient simulation algorithms. While it has long been known t...
Simulation-based Response Surface Estimation in the Presence of Monotonicity
Simulation-based Response Surface Estimation Presence Monotonicity
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2015/7/6
In many stochastic models, it is known that the response surface corresponding to a particular performance measure is monotone in the underlying parameter. For example, the steady-state mean waiting t...
The Semi-Regenerative Method of Simulation Output Analysis
Variance reduction effi ciency improvement importance sampling bias reduction
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2015/7/6
We develop a class of techniques for analyzing the output of simulations of a semi-regenerative process. Called the semi-regenerative method, the approach is a generalization of the regenerative metho...