Analysis of initial transient deletion for replicated steady-state simulations

Authors:
Peter W. Glynn;Philip Heidelberger
Affiliations:
Department of Operations Research, Stanford University, Stanford, CA 94305-4022, USA;IBM Thomas J. Watson Research Center, P.O. Box 704, Yorktown Heights, NY 10598, USA
Venue:
Operations Research Letters
Year:
1991

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Abstract

Consider the method of independent replications with initial transient deletion for generating confidence intervals for 'steady-state' quantities. To produce intervals with good convergence characteristics, the relative growth rates of the number of replications, the length of each replication, and the deletion period must be controlled. Critical rates for these parameters are determined. The applicability of these results to simultaneously running multiple replications on a highly parallel computer is discussed.