Output analysis: ASAP2: an improved batch means procedure for simulation output analysis

  • Authors:

  • Natalie M. Steiger;Christos Alexopoulos;David Goldsman;Emily K. Lada;James R. Wilson;Faker Zouaoui

  • Affiliations:

  • University of Maine, Orono, ME;Georgia Institute of Technology, Atlanta, GA;Georgia Institute of Technology, Atlanta, GA;North Carolina State University, Raleigh, NC;North Carolina State University, Raleigh, NC;Research Group, Southlake, TX

  • Venue:
  • Proceedings of the 34th conference on Winter simulation: exploring new frontiers
  • Year:
  • 2002

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Abstract

We introduce ASAP2, an improved variant of the batchmeans algorithm ASAP for steady-state simulation output analysis. ASAP2 operates as follows: the batch size is progressively increased until the batch means pass the Shapiro-Wilk test for multivariate normality; and then ASAP2 delivers a correlation-adjusted confidence interval. The latter adjustment is based on an inverted Cornish-Fisher expansion for the classical batch means t-ratio, where the terms of the expansion are estimated via a first-order autoregressive time series model of the batch means. ASAP2 is a sequential procedure designed to deliver a confidence interval that satisfies a prespecified absolute or relative precision requirement. When used in this way, ASAP2 compares favorably to ASAP and the well-known procedures ABATCH and LBATCH with respect to close conformance to the precision requirement as well as coverage probability and mean and variance of the half-length of the final confidence interval.