Accession Number : ADA119251

Title :   Regenerative Simulation of Harris Recurrent Markov Chains.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH

Personal Author(s) : Glynn,Peter W

PDF Url : ADA119251

Report Date : Jul 1982

Pagination or Media Count : 50

Abstract : If the steady-state simulation problem associated with a general discrete-event simulation is well-posed, then the corresponding Markov chain is Harris recurrent. For Harris chains, it is possible to develop a simulation methodology, closely related to the regenerative method, for obtaining confidence intervals associated with estimation of steady-state parameters. The passage-time problem for Harris chains is also studied, and an estimation approach for the steady-state simulation problem is outlined. Finally, it is shown that a certain family of nonlinear storage processes is Harris recurrent--the family provides an example of a Harris chain for which the classical regenerative method is inapplicable. (Author)

Descriptors :   *Markov processes, Mathematical models, Steady state, Simulation, Methodology, Stochastic processes, Confidence limits, Parameters

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE