Automated estimation and variance reduction for steady-state simulations

ABSTRACT

We present an automated procedure that interfaces with SIMSCRIPT II.5 simulation experiments to derive point and interval estimators for steady-state parameters of stochastic simulations. The procedure combines the nonoverlapping batch means method of output analysis and the control variates variance reduction technique. Batch size and control variates are selected automatically.

REFERENCES

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INDEX TERMS

Primary Classification:
  I. Computing Methodologies
  I.6 SIMULATION AND MODELING

Additional Classification:
  G. Mathematics of Computing
  G.3 PROBABILITY AND STATISTICS
      Subjects: Stochastic processes

  I. Computing Methodologies
  I.6 SIMULATION AND MODELING

General Terms:
Design, Experimentation, Measurement, Performance, Theory