Extensions of the Regenerative Method to New FunctionalsZ. Zheng and P. W. Glynn Proceedings of the Winter Simulation Conference (2016), pp.289-301. This paper briefly reviews the regenerative method for steady-state simulation, and then shows how regenerative structure can be used computationally to develop new estimators for the spectral density, moments of hitting times, and both discounted and average reward value functions. All our estimators typically exhibit the Monte Carlo method's usual "square root" convergence rate. This is in contrast to the usual sub-square root rate exhibited by, for example, spectral density estimators in the absence of regenerative structure. |