Some New Results on the Initial Transient Problem.

Abstract

This paper contains two new results pertaining to the initial transient problem for steady-state simulations. Our first result rigorously establishes the asymptotic superiority of a few long replications relative to a large number of shorter replications, assuming that no initial transient deletion is attempted. Our second result concerns an initial transient detection test proposed by Schruben; we develop asymptotics that are suggestive of the types of initial transients that the test is capable of detecting. As one might expect, the ability to detect a non-stationarity in the simulation output depends both on the magnitude of the non-stationarity of the initial condition, and the degree of autocorrelation in the process.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1995
Accession Number
ADA300838

Entities

People

  • Peter W. Glynn

Organizations

  • Stanford University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Autocorrelation
  • Brownian Motion
  • Convergence
  • Data Science
  • Detection
  • Estimators
  • Information Science
  • Markov Chains
  • Military Research
  • Operations Research
  • Probability
  • Simulations
  • Statistical Analysis
  • Statistics
  • Steady State
  • Stochastic Processes
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Computational Fluid Dynamics (CFD)
  • Mathematics or Statistics
  • Statistical inference.