A SPECTRAL METHOD FOR CONFIDENCE-INTERVAL GENERATION AND RUN LENGTH CONTROL IN SIMULATIONS
A SPECTRAL METHOD FOR CONFIDENCE-INTERVAL GENERATION AND RUN LENGTH CONTROL IN SIMULATIONS
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DOI：
10.1145/358598.358630
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发表时间：
1981-01-01
影响因子：
22.7
通讯作者：
WELCH, PD
中科院分区：
文献类型：
--
作者：
HEIDELBERGER, P;WELCH, PD
本文讨论了离散事件模拟输出序列稳态均值置信限的确定方法。通过估计零频率处的谱密度来获得方差的估计。该估计通过对平均周期图的对数的回归分析来完成。通过对输出序列进行重构，该方法的存储和计算要求保持较低。一个运行长度控制程序的开发，使用所生成的置信区间的相对宽度作为停止标准。本文报告了在一个交互式计算机系统中几种不同模型的实验结果。
This paper discusses a method for placing confidence limits on the steady state mean of an output sequence generated by a discrete event simulation. An estimate of the variance is obtained by estimating the spectral density at zero frequency. This estimation is accomplished through a regression analysis of the logarithm of the averaged periodogram. By batching the output sequence the storage and computational requirements of the method remain low. A run length control procedure is developed that uses the relative width of the generated confidence interval as a stopping criterion. Experimental results for several queueing models of an interactive computer system are reported.