Title
Performance evaluation of output analysis methods in steady-state simulations
Date Issued
01 August 2016
Access level
metadata only access
Resource Type
journal article
Author(s)
Ramirez-Nafarrate A.
Publisher(s)
Elsevier
Abstract
Output analysis methods of steady-state simulations have extensively been subject of study to evaluate the performance when estimating the mean. However, smaller efforts have been placed on performance evaluation of these methods to estimate variance and quantiles. In this paper, we empirically evaluate the performance of output analysis methods based on multiple replications and batches to estimate mean, variance and quantile with the same set of data. The evaluation of the performance of the methods is based on the empirical coverage of the true value using confidence intervals, the average bias, relative error and mean squared error. The methods are applied to estimate the average, variance and quantiles of waiting time in an M/M/1 queue. The results show that the methods based on non-overlapping batches perform consistently well in all the metrics. The performance of the other methods varies depending on the metric and the parameters of the simulation. In addition, we provide another example of a non-geometric ergodic Markov chain to show that asymptotically valid confidence intervals for quantiles can be obtained using batches and replications.
Start page
64
End page
73
Volume
301
Language
English
OCDE Knowledge area
Estadísticas, Probabilidad
Subjects
Scopus EID
2-s2.0-84958231403
Source
Journal of Computational and Applied Mathematics
ISSN of the container
03770427
Sponsor(s)
This research is supported by Asociación Mexicana de Cultura A.C. , and we acknowledge the support provided by CONACYT through grants 174548 and 206107 .
Sources of information:
Directorio de Producción Científica
Scopus