Statistical analysis of steady-state simulations: Survey of recent progress
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For non-terminating simulations with steady-state responses the following alternative analysis techniques are evaluated: (i) replicated runs (ii) approximately independent subruns or batches (iii) renewal or regenerative analysis. Two general techniques for reducing nonnormality and bias are presented: grouping (or batching) and jackknifing. Applications of the various techniques are discussed. Besides the estimation of the mean, the estimation of variances and quantiles is presented.
Recommendations
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Cites work
- A Batching Approach to Quantile Estimation in Regenerative Simulations
- A Comparison Between Tandem Queues with Dependent and Independent Service Times
- An Algorithm for Computing Serial Correlations of Times in GI/G/1 Queues with Rational Arrival Processes
- An introduction to the regenerative method for simulation analysis
- Batch Size Effects in the Analysis of Simulation Output
- Evaluation of startup policies in simulation experiments
- Grouping Observations in Digital Simulation
- scientific article; zbMATH DE number 3854477 (Why is no real title available?)
- scientific article; zbMATH DE number 4024487 (Why is no real title available?)
- scientific article; zbMATH DE number 3733074 (Why is no real title available?)
- scientific article; zbMATH DE number 3770836 (Why is no real title available?)
- scientific article; zbMATH DE number 3305572 (Why is no real title available?)
- Implementing Quicksort programs
- Optimization of Priority Class Queues, with a Computer Center Case Study
- Quantile Estimation in Dependent Sequences
- Regenerative Simulation of a Queuing Model of an Automated Tape Library
- Regenerative simulation of response times in networks of queues
- Sequential Stopping Rules for the Regenerative Method of Simulation
- Simulating Stable Stochastic Systems, VI: Quantile Estimation
- Simulation. Statistical foundations and methodology
- Starting and stopping rules for simulations using a priori information
- The Almost Regenerative Method for Stochastic System Simulations
- The complexity of the dependence operator
Cited in
(18)- Anthithetic-variate splitting for steady-state simulations
- Using martingales to make stochastic simulations more precise
- A note on bias and mean squared error in steady-state quantile estimation
- Analysis of the behavior of the transient period in non-terminating simulations
- Analysing steady-state simulation output using vector autoregressive processes with exogenous variables
- An Analytical Evaluation of Alternative Strategies in Steady-State Simulation
- Feature Article—Statistical Analysis of Simulation Output Data
- scientific article; zbMATH DE number 3928175 (Why is no real title available?)
- scientific article; zbMATH DE number 4100584 (Why is no real title available?)
- Improvements in the likelihood ratio method for steady-state sensitivity analysis and simulation
- Strong Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
- scientific article; zbMATH DE number 700520 (Why is no real title available?)
- A Batch Means Methodology for Estimation of a Nonlinear Function of a Steady-State Mean
- Analysis of event-based, single-server nonstationary simulation responses using classical time-series models
- To batch or not to batch?
- Empirical performance of bias-reducing estimators for regenerative steady-state simulations
- Detecting shifts in the mean of a simulation output process
- Performance evaluation of output analysis methods in steady-state simulations
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