Importance sampling using the semi-regenerative method

被引：2

作者：

Calvin, JM ^{[1
]}

Glynn, PW ^{[1
]}

Nakayama, MK ^{[1
]}

机构：

[1] New Jersey Inst Technol, Dept Comp Sci, Newark, NJ 07102 USA

来源：

WSC'01: PROCEEDINGS OF THE 2001 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 | 2001年

关键词：

D O I：

10.1109/WSC.2001.977320

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We discuss using the semi-regenerative method, importance sampling, and stratification to estimate the expected cumulative reward until hitting a fixed set of states for a discrete-time Markov chain on a countable state space. We develop a general theory for this problem and present several central limit theorems for our estimators. We also present some empirical results from applying these techniques to simulate a reliability model.

引用

页码：441 / 450

页数：10

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