Accession Number : ADA137921

Title :   Randomized Estimators for Time Integrals.

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Glynn,P W

PDF Url : ADA137921

Report Date : Nov 1983

Pagination or Media Count : 41

Abstract : This document considers a stochastic system for which one needs an estimate of the expected discounted cost over the infinite horizon. Standard Monte Carlo procedures do not apply since the parameter to be estimated involves values of the process over an infinitely long time interval. This paper, presents Monte Carlo estimation techniques, based on randomization, that can be used in the above setting. The techniques developed turn out to be more efficient than the standard approach, even when the parameter to be estimated cumulates costs over a finite time interval. (Author)

Descriptors :   *Stochastic processes, *Parametric analysis, *Estimates, Monte Carlo method, Numerical methods and procedures, Time intervals, Integrals

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE