A Regenerative Bootstrap Approach to Estimating the Initial Transient

Peter W. Glynn, Xiaowei Zhang
December 2010
DOI

Abstract

We propose a new algorithm for identifying the duration of the initial transient for a regenerative stochastic process. The algorithm involves re-sampling of the simulated cycles, and therefore has a ‘‘bootstrap’’ flavor. The paper includes a derivation of the estimator for the duration of the transient that offers theoretical support for its validity, and provides a preliminary numerical investigation of the estimator’s properties.

Type
Conference paper
Publication
Proceedings of the 2010 Winter Simulation Conference, 965–970
regenerative process bootstrap initial transient steady state simulation
Xiaowei Zhang
Xiaowei Zhang
Associate Professor

My research research focuses on methodological advances in stochastic simulation and optimization, decision analytics, and reinforcement learning, with applications in service operations management, financial technology, and digital economy.