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Statistical efficiency of regenerative simulation methods for networks of queues

Published online by Cambridge University Press:  01 July 2016

Donald L. Iglehart  and
Gerald S. Shedler
Donald L. Iglehart*
Affiliation:
Stanford University
Gerald S. Shedler*
Affiliation:
IBM Research Laboratory, San Jose
*
∗Postal address: Department of Operations Research, Stanford University, Stanford, CA 94305, U.S.A.
∗∗Postal address: IBM Research Laboratory, San Jose, CA 95193, U.S.A.
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Abstract

This paper is concerned with the assessment of the statistical efficiency of proposed regenerative simulation methods. We compare the efficiency of the ‘marked job' and ‘labelled jobs' methods for estimation of passage times in multiclass networks of queues with general service times. Using central limit theorem arguments, we show that the confidence intervals constructed for the expected value of a general function of the limiting passage time using the labelled jobs method are shorter than those obtained from the marked job method. This is consistent with intuition since the labelled jobs method extracts more passage-time information from a fixed-length simulation run.

Keywords

PASSAGE TIMESCENTRAL LIMIT THEOREM
Type
Research Article
Information
Advances in Applied Probability , Volume 15 , Issue 1 , March 1983 , pp. 183 - 197
Copyright
Copyright © Applied Probability Trust 1983 

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