DocumentCode
1428123
Title
A Finite-Memory Algorithm for Batch Means Estimators in Simulation Output Analysis
Author
Song, Wheyming Tina
Author_Institution
Dept. of Ind. Eng. & Eng. Manage., Nat. Tsing Hua Univ., Hsinchu, Taiwan
Volume
56
Issue
5
fYear
2011
fDate
5/1/2011 12:00:00 AM
Firstpage
1157
Lastpage
1162
Abstract
A classic problem of stochastic simulation is estimating the variance of point estimators, the prototype estimator being the sample mean from a steady-state autocorrelated process. The traditional batch means (BM) estimator requires knowledge of the sample size a priori. This paper proposes an algorithm to implement certain BM estimators without knowing the sample size in advance. The proposed algorithm is useful when the run length is random or is extremely long in simulation models.
Keywords
stochastic processes; BM; batch means; batch means estimators; finite-memory algorithm; simulation output analysis; stochastic simulation; Algorithm design and analysis; Analytical models; Correlation; Equations; Heuristic algorithms; Memory management; Stochastic processes; Batch means estimators; mean squared error; variance of the sample mean;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.2011.2106830
Filename
5688441
Link To Document