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| Author: | Fox, B. L. Glynn, P. W. |
| Title: | Simulating discounted costs. |
| Journal: | Management Science
1989 : NOV, VOL. 35:11, p. 1297-1315 |
| Index terms: | COSTS STOCHASTIC PROCESSES SIMULATION |
| Language: | eng |
| Abstract: | In many settings, discounted costs arise naturally. Described are simulation methodologies for estimation of expected discounted costs associated with systems that exhibit stochastic fluctuations. Such techniques are important for numerical computation of discounted costs for stochastic processes in which conventional numerical methods either fail to apply or are inefficient. In this setting, the naive truncation estimator loses; it may triumph, when the computer-time budget is modest, the discount rate is large and the process simulated is not regenerative or has long cycle lengths. |
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