On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation

Authors:
Seong-Hee Kim;Barry L. Nelson
Affiliations:
School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332;Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208-3119
Venue:
Operations Research
Year:
2006

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Abstract

We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when best is defined by the largest or smallest long-run average performance. We also provide a framework for establishing the asymptotic validity of such procedures and prove the validity of our procedures. An example based on the M/M/1 queue is given.