Abstract:
We develop an automated wavelet-based spectral method for constructing an approximate confidence interval on the steady-state mean of a simulation output process. This pr...Show MoreMetadata
Abstract:
We develop an automated wavelet-based spectral method for constructing an approximate confidence interval on the steady-state mean of a simulation output process. This procedure, called WASSP, determines a batch size and a warm-up period beyond which the computed batch means form an approximately stationary Gaussian process. Based on the log-smoothed-periodogram of the batch means, WASSP uses wavelets to estimate the batch means log-spectrum and ultimately the steady-state variance constant (SSVC) of the original (unbatched) process. WASSP combines the SSVC estimator with the grand average of the batch means in a sequential procedure for constructing a confidence-interval estimator of the steady-state mean that satisfies user-specified requirements on absolute or relative precision as well as coverage probability. An extensive performance evaluation provides evidence of WASSP's robustness in comparison with some other output analysis methods.
Date of Conference: 07-10 December 2003
Date Added to IEEE Xplore: 30 January 2004
Print ISBN:0-7803-8131-9