Sequential Stopping Rules for the Regenerative Method of Simulation

Lavenberg, Stephen S.; Sauer, Charles H.

doi:10.1147/rd.216.0545

Cited by 54 publications

(22 citation statements)

References 11 publications

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“…Hence, other analysis techniques need to be employed. Various methods can be adopted for such an analysis including autoregressive methods (Fishman, 1971;Fishman, 1973), spectral analysis (Heidelberger and Welch, 1981) and regenerative methods Iglehart, 1974a, b, 1975;Crane and Lemoine, 1977;Fishman, 1977;Lavenberg and Sauer, 1977). Here we use the batch means approach (Conway, 1963;Fishman, 1978) since this is deemed suitable for automation.…”

Section: Batch Means Methodsmentioning

confidence: 99%

AutoSimOA: a framework for automated analysis of simulation output

Hoad

Robinson

Davies

2011

Journal of Simulation

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There are two key issues in assuring the accuracy of estimates of performance obtained from a simulation model. The first is the removal of any initialisation bias; the second is ensuring that enough output data are produced to obtain an accurate estimate of performance. Our aim is to produce an automated procedure for inclusion into commercial simulation software to address both of these issues. This paper describes the results of a 3-year project to produce such an analyser. Our Automated Simulation Output Analyser identifies the warm-up period, estimates the number of replications, and/or analyses output from a single run, with the aim of providing the user with accurate and precise measures of their chosen output statistics.

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Section: Batch Means Methodsmentioning

confidence: 99%

AutoSimOA: a framework for automated analysis of simulation output

Hoad

Robinson

Davies

2011

Journal of Simulation

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“…This sharply contrasts with previous automated sequential procedures [Fishman (1977) and Lavenberg and Sauer (1977)], which require no human intervention, but which provide the user with far less information,particularly about the dynamics of the simulation.…”

mentioning

confidence: 84%

“…Again we shall be interested in the expected stationary response time E(W) which is known to be finite (Lavenberg and Sauer (1977) Also n is cut back to 500 to determine whether,with this greater precision, a firm decision can be made on section length n. Note that the box plots are of the eAe(J,nk) which show less skewness then the ke(j,nk) in Figure 3b.…”

mentioning

confidence: 99%

Regression-adjusted estimates for regenerative simulations, with graphics

Heidelberger

Lewis

1981

Commun. ACM

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Dist secial ABSTRACTJs IThe independent block structure of regenerative processes and t vergence rates of the means of ratio estimators are exploited to produce bias-free regression-adjusted estimates (AAfe's) for regenerative simulations. Direct assessments of the variances of the estimates are obtained, as well as indications--both formal and graphical--of normality and symmetry, or lack of it, in the distribution of the estimates.

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“…half length; for f i xed n , the half length will depend on the population var i ance a 2 = Var(x). In this subsection we consider two sequential procedures which allow one to specify the "relative precision " of The first procedure has been suggested for use In several different contexts; see Iglehart [5], Lavenberg and Sauer [7], and…”

Section: B Relati Ve Wi Dth Proceduresmentioning

confidence: 99%

Statistical analysis of the output data from terminating simulations

Law¹

1980

Naval Research Logistics

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In this paper we precisely define the two types of simulations (terminating and steady‐state) with regard to analysis of simulation output and discuss some common measures of performance for each type. In addition, we conclude, on the basis of discussions with many simulation practitioners, that both types of simulations are important in practice. This is contrary to the impression one gets from reading the simulation literature, where the steady‐state case is almost exclusively considered. Although analyses of terminating simulations are considerably easier than are those of steady‐state simulations, they have not received a careful treatment in the literature. We discuss and give empirical results for fixed sample size, relative width, and absolute width procedures that can be used for constructing confidence intervals for measures of performance in the terminating case.

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Sequential Stopping Rules for the Regenerative Method of Simulation

Cited by 54 publications

References 11 publications

AutoSimOA: a framework for automated analysis of simulation output

AutoSimOA: a framework for automated analysis of simulation output

Regression-adjusted estimates for regenerative simulations, with graphics

Statistical analysis of the output data from terminating simulations

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