Tests for transient means in simulated time series

Goldsman, David; Schruben, Lee W.; Swain, James J.

doi:10.1002/1520-6750(199403)41:2<171::aid-nav3220410204>3.0.co;2-n

Cited by 39 publications

(17 citation statements)

References 15 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…If they are included in further analysis, they can cause a significant bias of the final results; see, for example, [28]. Determination of the lengths of warm-up periods can require quite elaborate statistical techniques [6,22]. When this is done, one is left with a time series of (heavily) correlated data, and with the problem of estimating the confidence intervals from such data.…”

Section: Simulation Output Data Analysismentioning

confidence: 99%

On credibility of simulation studies of telecommunication networks

2002

View full text Add to dashboard Cite

In telecommunication networks, as in many other areas of science and engineering, proliferation of computers as research tools has resulted in the adoption of computer simulation as the most commonly used paradigm of scientific investigations. This, together with a plethora of existing simulation languages and packages, has created a popular opinion that simulation is mainly an exercise in computer programming. In new computing environments, programming can be minimised, or even fully replaced, by the manipulation of icons (representing pre-built programming objects containing basic functional blocks of simulated systems) on a computer monitor. One can say that we have witnessed another success of modern science and technology: the emergence of wonderful and powerful tools for exploring and predicting the behaviour of such complex, stochastic dynamic systems as telecommunication networks.But this enthusiasm is not shared by all researchers in this area. An opinion is spreading that one cannot rely on the majority of the published results on performance evaluation studies of telecommunication networks based on stochastic simulation, since they lack credibility. Indeed, the spread of this phenomenon is so wide that one can speak about a deep crisis of credibility. In this paper, this claim is supported by the results of a survey of over 2200 publications on telecommunication networks in recent proceedings of the IEEE INFOCOM and such journals as the IEEE Transactions on Communications, the IEEE/ACM Transactions on Networking, and the Performance Evaluation Journal. Credibility of simulation studies 2 Our ¤ discussion focuses on two important necessary conditions of a credible simulation study: use of appropriate pseudo-random generators of independent uniformly distributed numbers, and appropriate analysis of simulation output data. Having considered their perils and pitfalls, we formulate guidelines that, if observed, could help to assure a basic level of credibility of simulation studies of telecommunication networks.

show abstract

Section: Simulation Output Data Analysismentioning

confidence: 99%

On credibility of simulation studies of telecommunication networks

2002

View full text Add to dashboard Cite

show abstract

“…A second way, called stochastic (random) initialization, tries to estimate the steady-state probability distribution of the process, possibly from pilot runs, and then uses this estimated distribution to sample the initial conditions. Madansky (1976) shows that initializing an M/M/1 queue in empty and idle state, which is Gafarian et al (1978), Wilson and Pritsker (1978a,b), Chance (1993), Fishman (1972, Kleijnen (1984), Law (1984), Nelson (1990Nelson ( , 1992, Cash et al (1992), Ma and Kochhar (1993) Intelligent initialization Deterministic initialization Madansky (1976), Kelton and Law (1985), Kelton (1985), Murray and Kelton (1988a) Stochastic initialization Kelton (1989), Murray (1988), Murray and Kelton (1988b) Schruben (1981Schruben ( , 1982, Schruben et al (1983), Goldsman et al (1994), Vassilacopoulus (1989) Analytical techniques Kelton and Law (1983), Asmussen et al (1992), Gallagher et al (1996), White (1997), Spratt (1998), White et al (2000) the mode of the number-in-system distribution, minimizes the MSE of the point estimate. For M/M/s, M/E m /1, M/E m /2, and E m /M/2 queues, Kelton and Law (1985), Kelton (1985), and Murray and Kelton (1988a) find that initializing in a state at least as congested as the steady-state mean (as opposed to the mode) induces shorter transient periods.…”

Section: Intelligent Initializationmentioning

confidence: 94%

“…Nelson (1992) suggests using fewer replications and longer runs per replication in the presence of initialization bias and a tight budget. Cash et al (1992) assess the tests for initial bias detection provided by Goldsman et al (1994) on analytically tractable models. They report that these tests are powerful when the bias is severe at the beginning of the sequence, and dies out quickly.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Schruben (1982) develops a very general procedure for univariate output based on standardized time-series. This procedure is the basic building block of techniques discussed by Schruben et al (1983) and Goldsman et al (1994), which we call repetitive hypothesis testing. Given a set of data, the user recursively deletes some data from the beginning, and checks for initialization bias until the test concludes that no bias is left in the sequence.…”

Section: Truncation Heuristicsmentioning

confidence: 99%

“…This is called the initial transient, initialization bias, or the start-up problem in the simulation literature. Several techniques have been proposed to remedy this problem (see, for example, Kelton, 1989;Kelton and Law, 1983;Schruben, 1982;Schruben et al, 1983;Goldsman et al, 1994;Vassilacopoulus, 1989;Welch, 1982;White, 1997).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Analysis of the behavior of the transient period in non-terminating simulations

Sandikçi¹,

Sabuncuoğlu²

2006

European Journal of Operational Research

View full text Add to dashboard Cite

Computer simulation is a widely used tool for analyzing many industrial and service systems. However, a major disadvantage of simulation is that the results are only estimates of the performance measures of interest, hence they need careful statistical analyses. Simulation studies are often classified as either terminating or non-terminating. One of the major problems in non-terminating simulations is the problem of initial transient. Many techniques have been proposed in the literature to deal with this problem. There are currently a number of studies to improve the efficiency and effectiveness of these techniques. However, no research has been reported yet that analyzes the behavior of the transient period. In this paper, we investigate the factors affecting the length of the transient period for non-terminating simulations, particularly for serial production lines and job-shop production systems. Factors such as the variability of processing times, system size, existence of bottleneck, reliability of system, system load level, and buffer capacity are investigated. Recommendations for the use of a new technique are given. A comprehensive bibliography is also provided.

show abstract

Initial Transient Period in Steady‐State Systems

White

Robinson

2011

Wiley Encyclopedia of Operations Research and Management Science

View full text Add to dashboard Cite

This article describes the problem of the initial transient that arises when estimating the limiting distribution of a nonterminating stochastic process. Concepts are explored with references to simple M/M/1 queueing model with an artificially induced initial bias. A range of solution methods have been proposed and here we explore two such approaches, graphical and heuristic. We also demonstrate how these methods might be combined. Results from test problems consistently show that truncation of output data from a single long run is more economical than the replication/deletion approach for nonterminating simulations.

show abstract

Tests for transient means in simulated time series

Cited by 39 publications

References 15 publications

On credibility of simulation studies of telecommunication networks

On credibility of simulation studies of telecommunication networks

Analysis of the behavior of the transient period in non-terminating simulations

Initial Transient Period in Steady‐State Systems

Contact Info

Product

Resources

About