Title :
The quasi-Monte Carlo method for regenerative simulation
Author :
Nananukul, Soracha ; Gong, Wei-Bo
Author_Institution :
Dept. of Electr. & Comput. Eng., Massachusetts Univ., Amherst, MA, USA
Abstract :
We apply the quasi-Monte Carlo method to regenerative simulation. The motivation is from the problem of rational interpolation of performance functions. We obtain deterministic error bounds (as opposed to stochastic error bounds in the Monte Carlo method) for simulation of regenerative random sequences and GSMPs
Keywords :
Monte Carlo methods; error analysis; interpolation; random number generation; simulation; stochastic processes; deterministic error bounds; quasi-Monte Carlo method; rational interpolation; regenerative random sequences; regenerative simulation; stochastic timed state automaton; Analytical models; Computational modeling; Computer errors; Computer simulation; Contracts; Interpolation; Laboratories; Random sequences; Sampling methods; Stochastic processes;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.480634
