Two Approaches to the Initial Transient Problem.

Abstract

This paper describes two different approaches to dealing with the initial transient problem. In the first approach, the length of the warm-up period is determined by obtaining analytical estimates on the rate of convergence to stationarity. Specifically, we obtain an upper bound on the second eigenvalue of the transition matrix of a Markov chain, thereby providing one with a theoretical device that potentially can give estimates of the desired form. The second approach is data-driven, and involves using observed data from the simulation to determine an estimate of the warm-up period. For the method we study, we are able to use a coupling argument to establish a number of important theoretical properties of the algorithm. (AN)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Apr 08, 1995
Accession Number
ADA295803

Entities

People

  • Peter W. Glynn

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Convergence
  • Couplings
  • Eigenvalues
  • Guarantees
  • Markov Chains
  • Markov Processes
  • Military Research
  • Operations Research
  • Probability
  • Probability Distributions
  • Random Variables
  • Simulations
  • Stationary
  • Steady State
  • Stochastic Processes
  • Transitions

Readers

  • Mathematical Modeling and Probability Theory.
  • Operations Research
  • Thermal Physics or Thermal Science.