Regenerative simulation with internal controls

Abstract

A new variance reduction technique is introduced called internal control variables, to be used in the context of regeneration simulations. The idea is to identify a sequence of control random variables, each one defined within a regenerative cycle, whose mean can be calculated analytically. These controls should be highly correlated with the usual quantities observed in a regenerative simulation. This correlation reduces the variance of the estimate for the parameter of interest. Numerical examples are included for the waiting time process of an M/M/1 queue and for several Markov chains. (Author)