Title :
SBatch: A spaced batch means procedure for simulation analysis
Author :
Lada, Emily K. ; Wilson, James R.
Author_Institution :
SAS Inst. Inc., Cary
Abstract :
We discuss SBatch, a simplified procedure for steady-state simulation analysis that is based on spaced batch means, incorporating many advantages of its predecessors ASAP3 and WASSP while avoiding many of their disadvantages. SBatch is a sequential procedure designed to produce a confidence- interval estimator for the steady-state mean response that satisfies user-specified precision and coverage-probability requirements. First SBatch determines a batch size and an interbatch spacer size such that beyond the initial spacer, the spaced batch means approximately form a stationary first-order autoregressive process whose lag-one correlation does not significantly exceed 0.8. Next SBatch delivers a correlation-adjusted confidence interval based on the sample variance and lag-one correlation of the spaced batch means as well as the grand mean of all the individual observations beyond the initial spacer. In an experimental evaluation, SBatch compared favorably with ASAP3 and WASSP.
Keywords :
autoregressive processes; simulation; confidence- interval estimator; sequential procedure; simulation analysis; spaced batch means procedure; stationary first-order autoregressive process; steady-state mean response; steady-state simulation analysis; Analytical models; Autoregressive processes; Distribution functions; Modeling; Parameter estimation; Random variables; Steady-state; Stochastic processes; Synthetic aperture sonar; Systems engineering and theory;
Conference_Titel :
Simulation Conference, 2007 Winter
Conference_Location :
Washington, DC
Print_ISBN :
978-1-4244-1306-5
Electronic_ISBN :
978-1-4244-1306-5
DOI :
10.1109/WSC.2007.4419636
