Determining simulation run length with the runs test

This paper discusses implementation of a sequential procedure to determine the simulation run length and construct a confidence interval for the mean of a steady-state simulation. The quasi-independent (QI) procedure increases the simulation run length progressively until a certain number of essenti...

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Bibliographic Details
Published in:Simulation modelling practice and theory 2003-07, Vol.11 (3), p.237-250
Main Authors: Chen, E.Jack, Kelton, W.David
Format: Article
Language:English
Subjects:
Histogram
Runs test
Statistical analysis
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Summary:This paper discusses implementation of a sequential procedure to determine the simulation run length and construct a confidence interval for the mean of a steady-state simulation. The quasi-independent (QI) procedure increases the simulation run length progressively until a certain number of essentially independent and identically distributed systematic samples are obtained. We estimate the variance of the sample mean through an empirical distribution (histogram). Several experimental performance evaluations demonstrate the validity of the QI procedure and histogram approximation.
ISSN:1569-190X
1878-1462
DOI:10.1016/S1569-190X(03)00048-0