ARD: An automated replication-deletion method for simulation analysis

ARD is an automated replication-deletion procedure for computing point and confidence interval (CI) estimators for the steady-state mean of a simulation-generated output process. The CI can have user-specified values for its absolute or relative precision and its coverage probability. To compensate for skewness in the truncated sample mean for each replication, the CI incorporates a skewness adjustment. With increasingly stringent precision requirements, ARD´s sampling plan increases the run length and number of runs so as to minimize a weighted average of the mean squared errors of the following: (i) the grand mean of the truncated sample means for all runs; and (ii) the conventional replication-deletion estimator of the standard error of (i). We explain the operation of ARD, and we summarize an experimental performance evaluation of ARD. Although ARD´s CIs closely conformed to given coverage and precision requirements, ARD generally required a larger computing budget than single-run procedures.