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An Analytical Evaluation of Alternative Strategies in Steady-State Simulation

Author

Listed:
  • W. David Kelton

    (The University of Michigan, Ann Arbor, Michigan)

  • Averill M. Law

    (University of Arizona, Tucson, Arizona)

Abstract

We consider the simple technique of making independent and probabilistically identical simulation replications to estimate the steady-state mean of a stochastic process. For a fixed total sample size, using a first-order autoregressive model with high autocorrelation and time-dependent distributions, we analytically quantify and investigate the effects of the number of replications and of initial deletions of output on several different measures of point estimator and confidence interval quality. This analysis leads to general recommendations on the choice of replications and deletion. In particular, we conclude that deletion of some amount of the initial output in a replication can be an effective and efficient method of dealing with initialization bias; this conclusion differs from several previous studies on the efficacy of deletion.

Suggested Citation

  • W. David Kelton & Averill M. Law, 1984. "An Analytical Evaluation of Alternative Strategies in Steady-State Simulation," Operations Research, INFORMS, vol. 32(1), pages 169-184, February.
    • Handle: RePEc:inm:oropre:v:32:y:1984:i:1:p:169-184
    DOI: 10.1287/opre.32.1.169
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    Cited by:

    1. Nilay Tanık Argon & Sigrún Andradóttir, 2006. "Replicated batch means for steady‐state simulations," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(6), pages 508-524, September.
    2. Crawford, J. W. & Gallwey, T. J., 2000. "Bias and variance reduction in computer simulation studies," European Journal of Operational Research, Elsevier, vol. 124(3), pages 571-590, August.
    3. Vandin, Andrea & Giachini, Daniele & Lamperti, Francesco & Chiaromonte, Francesca, 2022. "Automated and distributed statistical analysis of economic agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    4. Andrea Vandin & Daniele Giachini & Francesco Lamperti & Francesca Chiaromonte, 2021. "Automated and Distributed Statistical Analysis of Economic Agent-Based Models," Papers 2102.05405, arXiv.org, revised Nov 2023.
    5. Andrea Vandin & Daniele Giachini & Francesco Lamperti & Francesca Chiaromonte, 2020. "Automated and Distributed Statistical Analysis of Economic Agent-Based Models," LEM Papers Series 2020/31, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Nilay Tanık Argon & Sigrún Andradóttir & Christos Alexopoulos & David Goldsman, 2013. "Steady-State Simulation with Replication-Dependent Initial Transients: Analysis and Examples," INFORMS Journal on Computing, INFORMS, vol. 25(1), pages 177-191, February.

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