3 papers
stat.CO2014
Exact Estimation for Markov Chain Equilibrium Expectations
Peter W. Glynn, Chang-han Rhee
We introduce a new class of Monte Carlo methods, which we call exact estimation algorithms. Such algorithms provide unbiased estimators for equilibrium expectations associated with…
stat.ME2014
Measuring the Initial Transient: Reflected Brownian Motion
Rob J. Wang, Peter W. Glynn
We analyze the convergence to equilibrium of one-dimensional reflected Brownian motion (RBM) and compute a number of related initial transient formulae. These formulae are of inter…
math.PR2010
Uniform Approximations for the M/G/1 Queue with Subexponential Processing Times
Mariana Olvera-Cravioto, Peter W. Glynn
This paper studies the asymptotic behavior of the steady-state waiting time, W_infty, of the M/G/1 queue with subexponenential processing times for different combinations of traffi…