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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
Fast Automated Estimation Of Variance In Sequential Discrete Event Stochastic
Simulation |
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Authors: |
Don McNickle, Krzysztof
Pawlikowski, Nelson Shaw |
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Published in:
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(2011).ECMS
2011 Proceedings edited by: T. Burczynski, J. Kolodziej, A. Byrski, M. Carvalho. European Council for Modeling and Simulation. doi:10.7148/2011 ISBN:
978-0-9564944-2-9 25th
European Conference on Modelling and Simulation, Jubilee Conference Krakow,
June 7-10, 2011
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Citation
format: |
McNickle, D., Pawlikowski,
K., & Shaw, N. (2011). Fast Automated Estimation Of Variance In
Sequential Discrete Event Stochastic Simulation. ECMS 2011 Proceedings edited
by: T. Burczynski, J. Kolodziej,
A. Byrski, M. Carvalho
(pp. 553-559). European Council for Modeling and Simulation. doi:10.7148/2011-0553-0559 |
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DOI: |
http://dx.doi.org/10.7148/2011-0553-0559 |
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Abstract: |
On-line analysis of output data
from discrete event stochastic simulation focuses almost entirely on
estimation of means. Most “variance estimation” research in simulation refers
to the estimation of the variance of the mean, to construct confidence
intervals for mean values. There has been little research on the estimation
of variance in simulation. We investigate three methods for point and
interval estimates of variance and discuss an implementation of the best
technique in an extended version of Akaroa2, a quantitative stochastic
simulation controller. |
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