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Conference papers

Perfect sampling of stationary rewards of Markov chains

Jean-Marc Vincent 1
1 MESCAL - Middleware efficiently scalable
Inria Grenoble - Rhône-Alpes, LIG - Laboratoire d'Informatique de Grenoble
Abstract : This article illustrates how reward backward coupling improves simulation complexity for the estimation of stationary rewards. Bounds on the coupling time for M/M/1/C are given and experimental results on a large queueing network validate the practical interest of such an approach.
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Submitted on : Monday, March 10, 2014 - 4:44:58 PM
Last modification on : Thursday, December 9, 2021 - 9:08:03 AM
Long-term archiving on: : Tuesday, June 10, 2014 - 10:37:30 AM


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  • HAL Id : hal-00953625, version 1



Jean-Marc Vincent. Perfect sampling of stationary rewards of Markov chains. International Workshop on Applied Probability, 2008, Compiègne, France. ⟨hal-00953625⟩



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