CORRELATION-INDUCING VARIANCE REDUCTION IN REGENERATIVE-SIMULATION

This paper proposes a variance reduction technique that can be applied to regenerative simulations. The proposed technique induces correlati on between consecutive nonoverlapping pairs of regenerations. Under so me mild assumptions, we show analytically that the proposed technique is superior to conventional techniques in the sense that they use inde pendent random numbers between regenerations. We provide two examples to illustrate that the variance reduction is significant.