GT INFORMS Student Chapter -- ASAP2: An improved batch means procedure for steady-state

Event Details
  • Date/Time:
    • Thursday March 28, 2002 - Wednesday March 27, 2002
      1:00 pm - 11:00 pm
  • Location: IC 107
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Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
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Summary Sentence: GT INFORMS Student Chapter -- ASAP2: An improved batch means procedure for steady-state

Full Summary: GT INFORMS Student Chapter -- ASAP2: An improved batch means procedure for steady-state

We introduce ASAP2, a variant of the batch-means algorithm ASAP for steady-state simulation output analysis. ASAP2 operates as follows: the batch size is progressively increased until the batch means pass the Shapiro-Wilk test for multivariate normality; and then ASAP delivers an adjusted confidence interval. The latter adjustment is based on an inverted Cornish-Fisher expansion for the classical NOBM t-ratio, where the terms of the expansion are estimated via an order-one autoregressive time series model of the batch means. In comparison to the widely used ABATCH and LBATCH algorithms, we found ASAP2 to deliver confidence intervals that not only satisfy a user-specified absolute or relative precision requirement but also outperform ABATCH and LBATCH with respect to confidence-interval coverage probability.

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:43am
  • Last Updated: Oct 7, 2016 - 9:53pm