Nonexistence of a Class of Variate Generation Schemes

S.G. Henderson and P. W. Glynn

Operations Research Letters. Vol. 31 (2), 83-89 (2003)

Motivated by a problem arising in the regenerative analysis of discrete-event system simulation, we ask whether a certain class of random variate generation schemes exists or not. Under very reasonable conditions, we prove that such variate generation schemes do not exist. The implications of this result for regenerative steady-state simulation of discrete-event systems are discussed.