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.
https://hal.inria.fr/hal-00953625
Contributor : Arnaud Legrand
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Submitted on : Monday, March 10, 2014 - 4:44:58 PM
Last modification on : Thursday, October 11, 2018 - 8:48:02 AM
Document(s) archivé(s) le : Tuesday, June 10, 2014 - 10:37:30 AM
Jean-Marc Vincent. Perfect sampling of stationary rewards of Markov chains. International Workshop on Applied Probability, 2008, Compiègne, France. ⟨hal-00953625⟩
