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Some topics in regenerative steady-state simulation
Authors:Peter W. Glynn
Affiliation:(1) Stanford University, 94305 Stanford, CA, USA
Abstract:
This paper offers a short introduction to the regenerative method of steady-state simulation output analysis. The paper also contains several new results. In particular, it is shown that regenerative methods necessarily apply to steady-state simulations that are lsquowell-posedrsquo in a certain precise sense. The paper also describes a bias-reduction algorithm that takes advantage of regenerative structure.
Keywords:60K05  65C05
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