Introduction to Regenerative Simulation

Abstract
A recently developed method for estimating confidence intervals when simulating stochastic systems having a regenerative structure is reviewed. The paper is basically tutorial, but also considers the pragmatic issue of the simulation duration required to obtain valid estimates. The method is illustrated in terms of simulating the M/G/1 queue. Analytic results for the M/G/1 queue are used to determine the validity of the simulation results.