Variance Reduction Techniques in the Simulation of Markov Processes

WE STUDY A FUNCTIONAL R OF THE STATIONARY DISTRIBUTION OF A HOMOGENEOUS MARKOV CHAIN. IT IS OFTEN DIFFICULT OR IMPOSSIBLE TO PERFORM THE ANALYTICAL CALCULATION OF R AND SO IT IS REASONABLE TO ESTIMATE R BY A SIMULATION PROCESS. A CONSISTENT ESTIMATOR R(N) OF R IS OBTAINED WITH RESPECT TO A CHAIN WITH A COUNTABLE STATE SPACE. SUITABLY MODIFYING THE ESTIMATOR R(N) OF R ONE OBTAINS A NEW CONSISTENT ESTIMATOR WHICH HAS A SMALLER VARIANCE THAN R(N). THE SAME IS OBTAINED IN THE CASE OF FINITE STATE SPACE.

LESSI Oliviero; 

1995-03-15

European Commission

JRC4850

EUR 11035 EN,   

https://publications.jrc.ec.europa.eu/repository/handle/JRC4850,