A comparison of output-analysis methods for simulations of processes with multiple regeneration sequences

Document Type

Conference Proceeding

Publication Date

12-1-2002

Abstract

We compare several simulation estimators for a performance measure of a process having multiple regeneration sequences. We examine the setting of two regeneration sequences. We compare two existing estimators, the permuted estimator and the semi-regenerative estimator, and two new estimators, a type of U-statistic estimator and a type of V-statistic estimator. The last two estimators are obtained by resampling trajectories without and with replacement, respectively. The permuted estimator and the U-statistic estimator turn out to be equivalent, but the others are in general different. We show that when estimating the second moment of a cumulative cycle reward, the semi-regenerative and V-statistic estimators have non-negative bias, with the semi-regenerative bias being larger. The permuted estimator was previously shown to be unbiased. Although some of the estimators have different small-sample properties, they all satisfy central limit theorems with the same asymptotic variance constant.

Identifier

0036928136 (Scopus)

Publication Title

Winter Simulation Conference Proceedings

ISSN

02750708

First Page

328

Last Page

335

Volume

1

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