• DocumentCode
    677618
  • Title

    Have we really been analyzing terminating simulations incorrectly all these years?

  • Author

    Senchez, Paul J. ; White, K.P.

  • Author_Institution
    Oper. Res., Naval Postgrad. Sch., Monterey, CA, USA
  • fYear
    2013
  • fDate
    8-11 Dec. 2013
  • Firstpage
    814
  • Lastpage
    820
  • Abstract
    We all know how to estimate a confidence interval for the mean based on a random sample. The interval is centered on the sample mean, with the half-width proportional to the sample standard error. We know also that terminating simulations generate independent observations. What simulators appear to have overlooked is that independence alone is insufficient to guarantee a valid random sample - the observations must also be identically distributed. This is a good assumption if the outcome of each replication is a single observation, but it is demonstrably incorrect if the outcome is an aggregate value and the replications have differing numbers of observations. In this paper we explore the implications of this oversight when within-replication observations are independent. We then derive analytic results showing that although the impact on interval estimates can sometimes be negligible, there also are circumstances where the variance of our estimates is significantly increased. We finish with a simple example which demonstrates the potential impact for practitioners.
  • Keywords
    random processes; sampling methods; simulation; aggregate value; confidence interval estimation; random sample; sample mean; terminating simulations; within-replication observations; Aggregates; Analytical models; Equations; Inspection; Nonlinear optics; Reactive power;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference (WSC), 2013 Winter
  • Conference_Location
    Washington, DC
  • Print_ISBN
    978-1-4799-2077-8
  • Type

    conf

  • DOI
    10.1109/WSC.2013.6721473
  • Filename
    6721473