Risk-Efficient Sequential Simulation Estimators

Raghu Pasupathy, Yingchieh Yeh

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations


Using steady state mean estimation as the prototypical context, we present a decision-theoretic framework for sequentially estimating quantities associated with an observable discrete-time stochastic process. Our framework includes weights for estimator quality and a linear cost of sampling. We first show that the optimal time to stop sampling in the hypothetical case when the autocovariance function of the process is known is the square root of the relative cost and the area under the autocovariance function. This expression inspires a sequential procedure that uses a partially overlapping batch means estimator to stand-in for the area under the autocovariance function. The sequential procedure is asymptotically optimal in the sense that the ratio of its risk and that of the optimal risk in the hypothetical scenario approaches unity in a certain asymptotic regime. The nature of our analysis hints at a general optimality principle that may be more generally prevalent.

Original languageEnglish
Title of host publicationProceedings of the 2020 Winter Simulation Conference, WSC 2020
EditorsK.-H. Bae, B. Feng, S. Kim, S. Lazarova-Molnar, Z. Zheng, T. Roeder, R. Thiesing
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages8
ISBN (Electronic)9781728194998
StatePublished - 14 Dec 2020
Event2020 Winter Simulation Conference, WSC 2020 - Orlando, United States
Duration: 14 Dec 202018 Dec 2020

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736


Conference2020 Winter Simulation Conference, WSC 2020
Country/TerritoryUnited States


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