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

Abstract

A common problem faced by simulators is that of constructing a confidence interval for the steady-state mean of a stochastic process. We have reviewed the existing procedures for this problem and found that they all produce confidence intervals with coverages which may be considerably lower than desired. Thus, in many cases simulators will have more confidence in their results than is justified. In this paper we present a new sequential procedure based on the method of batch means for constructing a confidence interval with coverage close to the desired level. Empirical results for a large number of stochastic systems indicate that the new procedure performs quite well. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1977
Accession Number
ADA040695

Entities

People

  • Averill M. Law
  • John S. Carson

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Complex Systems
  • Computer Simulations
  • Computers
  • Engineering
  • Estimators
  • Industrial Engineering
  • Intervals
  • Markov Chains
  • Military Research
  • Probability
  • Random Variables
  • Simulations
  • Simulators
  • Stationary Processes
  • Statistical Analysis
  • Steady State
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Computational Modeling and Simulation