EFFICIENT SIMULATION VIA COUPLING

Authors
GLYNN PW WONG EW
Citation
Pw. Glynn et Ew. Wong, EFFICIENT SIMULATION VIA COUPLING, Probability in the engineering and informational sciences, 10(2), 1996, pp. 165-186
Citations number
22
Categorie Soggetti
Operatione Research & Management Science","Engineering, Industrial","Statistic & Probability","Operatione Research & Management Science
Journal title
Probability in the engineering and informational sciences → ACNP
ISSN journal
02699648
Volume
10
Issue
2
Year of publication
1996
Pages
165 - 186
Database
ISI
SICI code
0269-9648(1996)10:2<165:ESVC>2.0.ZU;2-K
Abstract
This paper is concerned with how coupling can be used to enhance the e fficiency of a certain class of terminating simulations, in Markov pro cess settings in which the stationary distribution is known. We are ab le to theoretically establish that our coupling-based estimator is oft en more efficient than the naive estimator. In addition, we discuss ex tensions of our methodology to Markov process settings in which conven tional coupling fails and show (for Doeblin chains) that knowledge of the stationary distribution is sometimes unnecessary.