Replicated batch means for steady-state simulations with initial transients

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Replicated batch means for steady-state simulations with initial transients

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Winter Simulation Conference archive
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come table of contents

Washington D.C.

SESSION: Analysis methodology A: output analysis table of contents

Pages 308-312

Year of Publication: 2007

ISBN:1-4244-1306-0

Authors

Christos Alexopoulos	Georgia Institute of Technology, Atlanta, GA
Sigrún Andradóttir	Georgia Institute of Technology, Atlanta, GA
Nilay Tanik Argon	University of North Carolina, Chapel Hill, NC
David Goldsman	Georgia Institute of Technology, Atlanta, GA

Sponsors

INFORMS-SIM : Institute for Operations Research and the Management Sciences: Simulation Society
NIST : National Institute of Standards and Technology
(SCS) : The Society for Modeling and Simulation International
ACM/SIGSIM : Association for Computing Machinery: Special Interest Group on Simulation
IIE : Institute of Industrial Engineers
ASA : American Statistical Association
IEEE/SMC : Institute of Electrical and Electronics Engineers: Systems, Man, and Cybernetics Society

Publisher

IEEE Press Piscataway, NJ, USA

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Downloads (6 Weeks): 3, Downloads (12 Months): 23, Citation Count: 0

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abstract references collaborative colleagues

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ABSTRACT

We provide asymptotic expressions for the expected value and variance of the replicated batch means variance estimator when the stochastic process being simulated has an additive initial transient. These expressions explicitly show how the initial transient and the autocorrelation in the data affect the performance of the estimator. We apply our results to study how many replications will minimize the asymptotic bias of the variance estimator for a simple example.

REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	Christos Alexopoulos , Sigrún Andradóttir , Nilay Tanik Argon , David Goldsman, Replicated batch means variance estimators in the presence of an initial transient, ACM Transactions on Modeling and Computer Simulation (TOMACS), v.16 n.4, p.317-328, October 2006 [doi>10.1145/1176249.1176250]
	2	Christos Alexopoulos , David Goldsman, To batch or not to batch?, ACM Transactions on Modeling and Computer Simulation (TOMACS), v.14 n.1, p.76-114, January 2004 [doi>10.1145/974734.974738]
	3	Argon, N. T., and S. Andradóttir. 2006. Replicated batch means for steady-state simulations. Naval Research Logistics 53 (6): 508--524.
	4	Billingsley, P. 1968. Convergence of Probability Measures. New York: John Wiley and Sons.
	5	George S. Fishman, Discrete-event simulation, Springer-Verlag, London, 2001
	6	Glynn, P. W., and P. Heidelberger. 1991. Analysis of initial transient deletion for replicated steady-state simulations. Operations Research Letters 10 (8): 437--443.
	7	Robert G. Sargent , Keebom Kang , David Goldsman, An investigation of finite-sample behavior of confidence interval estimators, Operations Research, v.40 n.5, p.898-913, Sept.–Oct. 1992 [doi>10.1287/opre.40.5.898]
	8	Wheyming Tina Song , Bruce W. Schmeiser, Optimal mean-squared-error batch sizes, Management Science, v.41 n.1, p.110-123, Jan. 1995 [doi>10.1287/mnsc.41.1.110]

Collaborative Colleagues:

Christos Alexopoulos: colleagues

Sigrún Andradóttir: colleagues

Nilay Tanik Argon: colleagues

David Goldsman: colleagues

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