Automated estimation and variance reduction for steady-state simulations

Authors:
Rowena Añonuevo;Barry L. Nelson
Affiliations:
Department of industrial and Systems Engineering, The Ohio State University, 1971 Neil Avenue, Columbus, Ohio;Department of industrial and Systems Engineering, The Ohio State University, 1971 Neil Avenue, Columbus, Ohio
Venue:
WSC '86 Proceedings of the 18th conference on Winter simulation
Year:
1986

Citing 3
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Abstract

We present an automated procedure that interfaces with SIMSCRIPT II.5 simulation experiments to derive point and interval estimators for steady-state parameters of stochastic simulations. The procedure combines the nonoverlapping batch means method of output analysis and the control variates variance reduction technique. Batch size and control variates are selected automatically.