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Uniformization and Hybrid Simulation/Analytic Models of Renewal Processes

Uniformization and Hybrid Simulation/Analytic Models of Renewal Processes In this paper we demonstrate the use of uniformization in the simulation of renewal processes. Using uniformization, we represent the continuous random variable of interest as the first passage time of a continuous-time stochastic process associated with a Poisson process. We then use this result to develop a hybrid simulation/analytic method to model renewal processes. The estimators obtained from the hybrid simulation/analytic models have lower variance than the variance of the estimators of the traditional simulation models. We also discuss the possible impact of this method on the future of simulation methodology. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Operations Research INFORMS

Uniformization and Hybrid Simulation/Analytic Models of Renewal Processes

Operations Research , Volume 34 (4): 8 – Aug 1, 1986
9 pages

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References (12)

Publisher
INFORMS
Copyright
Copyright © INFORMS
Subject
Research Article
ISSN
0030-364X
eISSN
1526-5463
DOI
10.1287/opre.34.4.573
Publisher site
See Article on Publisher Site

Abstract

In this paper we demonstrate the use of uniformization in the simulation of renewal processes. Using uniformization, we represent the continuous random variable of interest as the first passage time of a continuous-time stochastic process associated with a Poisson process. We then use this result to develop a hybrid simulation/analytic method to model renewal processes. The estimators obtained from the hybrid simulation/analytic models have lower variance than the variance of the estimators of the traditional simulation models. We also discuss the possible impact of this method on the future of simulation methodology.

Journal

Operations ResearchINFORMS

Published: Aug 1, 1986

Keywords: Keywords : 761 simulation of renewal processes ; 766 uniformization ; 769 variance reduction

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