A Sequential Procedure for Determining the Length of a Steady-State Simulation

DOI10.1287/OPRE.27.5.1011MaRDI QIDQ3857641zbMATH OpenOpenAlexFDO

Authors Averill M. Law, John S. Carson

Publication date 1979

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.27.5.1011

zbMATH Keywords

confidence intervalempirical resultsmethod of batch meanssequential procedurestochastic models

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

Cited in

(23)

• Extended dynamic partial-overlapping batch means estimators for steady-state simulations
• Manufacturing cell operating characteristics
• A directed acyclic graph representation of routing manufacturing flexibility
• An alternating variable method with varying replications for simulation response optimization
• Properties of batch means from stationary ARMA time series
• Batch size effects on the efficiency of control variates in simulation
• Simulation response optimization via direct conjugate direction method
• Automated and distributed statistical analysis of economic agent-based models
• Fourier trajectory analysis for system discrimination
• Run length not required: optimal-MSE dynamic batch means estimators for steady-state simulations
• A stochastic quasi-Newton method for simulation response optimization
• A wavelet-based spectral procedure for steady-state simulation analysis
• Finite-sample performance of absolute precision stopping rules
• New bounding and decomposition approaches for MILP investment problems: multi-area transmission and generation planning under policy constraints
• Tutorial
• Multivariate Simulation Output Analysis
• A Sequential Stopping Rule for a Steady-State Simulation Based on Time-Series Forecasting
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Variance estimation and sequential stopping in steady-state simulations using linear regression
• Selecting Stopping Rules for Confidence Interval Procedures
• Evaluating focused factory benefits with queuing theory
• A fast algorithm for the estimation of statistical error in DNS (or experimental) time averages
• On coverage probability, independence and normality in batch means algorithms

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