Improved Batching for Confidence Interval Construction in Steady-State Simulation

The primary objectives of this research are formulation and evaluation of an improved batch-means procedure for steady-state simulation output analysis. The new procedure yields a confidence interval for a steady-state expected response that is centered on the sample mean of a portion of the series ofsimulation-generated responses and satisfies a user-specified absolute or relative precision requirement. We concentrate on the method of nonoverlapping batch means (NOBM), which requires the sample means computed from adjacent batches of observations to be independent and identically distributed normal random variables. For increasing batch sizes and a fixed number of batches computed from a weakly dependent (phi-mixing) output process, we establish key asymptotic distributional properties of the vector of batch means and of the numerator and squared denominator of the NOBM -ratio, where the terms of the expansion are estimated via an autoregressive--moving average time series model of the batch means. An extensive experimental performance evaluation demonstrates the advantages of ASAP versus other widely used batch-means procedures.

Author dc:creator

• Steiger, Natalie Miller

Advisors dc:contributor.advisor

• James R. Wilson, Chair
• Yahya Fathi, Member
• Stephen D. Roberts, Member
• Len A. Stefanski, Member

Statement dc:rights

• I hereby certify that, if appropriate, I have obtained and attached hereto a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to NC State University or its agents the non-exclusive license to archive and make accessible, under the conditions specified below, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report.

Dc Identifier Other

etd-19990309-194434

OAI record oai:identifier

https://repository.lib.ncsu.edu/server/oai/request?verb=GetRecord&metadataPrefix=dim&identifier=oai%3Arepository.lib.ncsu.edu%3A1840.16%2F4713