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Robustness of confidence intervals for transient simulations

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Averill M. LawAuthors Info & Claims

WSC '77: Proceedings of the 9th conference on Winter simulation - Volume 1

Pages 166 - 167

Published: 05 December 1977 Publication History

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Abstract

Most of the statistical simulation literature is concerned with steady-state simulations. That is, a simulation where the quantity to be estimated is defined as a limit as time (or the number of customers) goes to infinity. For example, the regenerative method is for this case. However, we have discovered by talking to a large number of simulation practitioners that, for the majority of real-world simulations, the length of the simulation is specified by the problem context. (The proportion may be 75 percent or higher.) For example, a simulation to determine the mean wait in a bank during the noon rush hour or a simulation to determine the time to failure of a system of electronic components. We call this type of simulation a transient simulation.

Since the length of a transient simulation is fixed, suppose we make k independent runs. If Y_i(i=1,2,...,k) is the estimate from the ith run, then the Y_i's are independent and identically distributed, and classical statistical analysis may be applied to construct a c.i. for E (Y).

Reference

[1]

Law, A.M., "Stopping Rules for Replicated Simulation Experiments," Technical Report No. 77-32, Department of Industrial Engineering, University of Wisconsin-Madison, (1977).

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Index Terms

Robustness of confidence intervals for transient simulations
1. Computing methodologies
  1. Modeling and simulation
    1. Simulation types and techniques
2. Mathematics of computing
  1. Probability and statistics

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WSC '77: Proceedings of the 9th conference on Winter simulation - Volume 1

December 1977

478 pages

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Winter Simulation Conference

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Published: 05 December 1977

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Confidence Intervals for Steady-State Simulations II: A Survey of Sequential Procedures

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Confidence Intervals for Steady-State Simulations: I. A Survey of Fixed Sample Size Procedures