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Branching Technique for Markov Chain Simulation (Finite State Case)

 

作者: V.B. Melas,  

 

期刊: Statistics  （Taylor Available online 1994）
卷期: Volume 25, issue 2  

页码: 159-171

 

ISSN:0233-1888

 

年代: 1994

 

DOI:10.1080/02331889408802441

 

出版商: Gordon & Breach Science Publishers

 

关键词: System simulation;Markov chains;simulation experimental design;variance reduction technique

 

数据来源: Taylor

 

摘要:

The paper is devoted to the development of the known splitting and Russian roulette method for Markov chains simulation. Representations for variances of unbiased parameter estimates and optimal numbers for branching are obtained. Efficiency of the method applied to M/M/1 queueing system is estimated.

 

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