NDLI: Parallel Replicated Simulation of Markov Chains: Implementation and Variance Reduction

Content Provider	IEEE Xplore Digital Library
Author	Streltsov, S. Vakili, P.
Copyright Year	1993
Description	Author affiliation: Department of Manufacturing Engineering, Boston University (Streltsov, S.)
Abstract	We discuss a way of simulating M replications of a uniformizable Markov chain simultaneously and in parallel (the so-called parallel replication approach). Simulation is performed to estimate the expectation of some cumulative reward over a finite deterministic time horizon. Distributed implementation on a number of processors and parallel SIMD implementation on massively parallel computers are described. We investigate the adaptation of Fishman's rotation sampling approach (Fishman 1983a and 1983b) to our setting in order to reduce the variance of the estimators. It is pointed out that the algorithms can be used in conjunction with the Standard Clock simulation of uniformized chains at distinct parameters (Vakili 1992) to increase the effectiveness of the Standard Clock simulation.
Starting Page	430
Ending Page	436
File Size	570083
Page Count	7
File Format	PDF
ISBN	078031381X
DOI	10.1109/WSC.1993.718082
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1993-12-12
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Computational modeling Clocks Virtual manufacturing Discrete event simulation Concurrent computing Distributed computing Sampling methods Computer aided manufacturing Random variables
Content Type	Text
Resource Type	Article

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