A Renewal Theoretic Approach to Bias Reduction in Regenerative Simulations
The special structure of regenerative processes is exploited to derive a new point estimate with very low bias for steady state quantities of regenerative simulations. If the simulation run length is t units of time, the bias of the new estimate is of order 1/t<sup>2</sup> as opposed to...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 28(1982), 2, Seite 173-181 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1982
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Simulation Regenerative Bias Reduction Renewal Theory Cumulative Process Ratio Estimator Mathematics Applied sciences Behavioral sciences |
| Zusammenfassung: | The special structure of regenerative processes is exploited to derive a new point estimate with very low bias for steady state quantities of regenerative simulations. If the simulation run length is t units of time, the bias of the new estimate is of order 1/t<sup>2</sup> as opposed to the bias of order 1/t associated with more standard estimates. The bias reduction is achieved by continuing the simulation until the first regeneration after time t and then forming the ratio estimate which involves the random number of regenerative cycle observed during the simulation. Empirical results for several queueing models demonstrated that the bias reduction can be substantial for small values of t. |
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| ISSN: | 15265501 |