TY - JOUR
T1 - Simulation output analysis via Dynamic Batch Means
AU - Yeh, Yingchieh
AU - Schmeiser, Bruce
PY - 2000
Y1 - 2000
N2 - This paper is focused on estimating the quality of the sample mean from a steady-state simulation experiment with consideration of computational efficiency, memory requirement, and statistical efficiency. In addition, we seek methods that do not require knowing run length a priori. We develop an algorithm of nonoverlapping batch means that is implemented in fixed memory by dynamically changing both batch size and number of batches as the simulation runs. The algorithm, denoted by DBM for Dynamic Batch Means, requires computation time similar to other batch means data-collection methods, despite its fixed memory requirement. To achieve satisfactory statistical efficiency of DBM, we propose two associated estimators, qqTBM and qqPBM, of the variance of the sample mean and investigate their statistical properties. Our study shows that the estimator qqPBM with parameter w = 1 is, as a practical matter, better than the other proposed estimators.
AB - This paper is focused on estimating the quality of the sample mean from a steady-state simulation experiment with consideration of computational efficiency, memory requirement, and statistical efficiency. In addition, we seek methods that do not require knowing run length a priori. We develop an algorithm of nonoverlapping batch means that is implemented in fixed memory by dynamically changing both batch size and number of batches as the simulation runs. The algorithm, denoted by DBM for Dynamic Batch Means, requires computation time similar to other batch means data-collection methods, despite its fixed memory requirement. To achieve satisfactory statistical efficiency of DBM, we propose two associated estimators, qqTBM and qqPBM, of the variance of the sample mean and investigate their statistical properties. Our study shows that the estimator qqPBM with parameter w = 1 is, as a practical matter, better than the other proposed estimators.
UR - http://www.scopus.com/inward/record.url?scp=0034428723&partnerID=8YFLogxK
U2 - 10.1109/WSC.2000.899775
DO - 10.1109/WSC.2000.899775
M3 - 期刊論文
AN - SCOPUS:0034428723
SN - 0275-0708
VL - 1
SP - 637
EP - 645
JO - Winter Simulation Conference Proceedings
JF - Winter Simulation Conference Proceedings
ER -