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TRANSIENT SIMULATION VIA EMPIRICALLY BASED COUPLING

Published online by Cambridge University Press:  01 April 1999

Eugene W. Wong ,
Peter W. Glynn  and
Donald L. Iglehart
Eugene W. Wong
Affiliation:
Department of Engineering-Economic Systems and Operations Research, Stanford University, Stanford, California 94305-4023
Peter W. Glynn
Affiliation:
Department of Engineering-Economic Systems and Operations Research, Stanford University, Stanford, California 94305-4023
Donald L. Iglehart
Affiliation:
Department of Engineering-Economic Systems and Operations Research, Stanford University, Stanford, California 94305-4023
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Abstract

In this paper we consider the use of coupling ideas in efficiently computing a certain class of transient performance measures. Specifically, we consider the setting in which the stationary distribution is unknown, and for which no exact means of generating stationary versions of the process is known. In this context, we can approximate the stationary distribution from empirical data obtained from a first-stage steady-state simulation. This empirical approximation is then used in place of the stationary distribution in implementing our coupling-based estimator. In addition to the empirically based coupling estimator itself, we also develop an associated confidence interval procedure.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 13 , Issue 2 , April 1999 , pp. 147 - 167
Copyright
© 1999 Cambridge University Press

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