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Conference Papers Year : 2008

Perfect sampling of stationary rewards of Markov chains

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Jean-Marc Vincent

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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Dates and versions

hal-00953625 , version 1 (10-03-2014)

Identifiers

  • HAL Id : hal-00953625 , version 1

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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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