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Empirical performance of bias-reducing estimators for regenerative steady-state simulations

Published: 01 October 2004 Publication History

Abstract

When simulating a stochastic system, simulationists often are interested in estimating various steady-state performance measures. The classical point estimator for such a measure involves simply taking the time average of an appropriate function of the process being simulated. Since the simulation can not be initiated with the (unknown) steady-state distribution, the classical point estimator is generally biased. In the context of regenerative steady-state simulation, a variety of other point estimators have been developed in an attempt to minimize the bias. In this paper, we provide an empirical comparison of these estimators in the context of four different continuous-time Markov chain models. The bias of the point estimators and the coverage probabilities of the associated confidence intervals are reported for the four models. Conclusions are drawn from this experimental work as to which methods are most effective in reducing bias.

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cover image ACM Transactions on Modeling and Computer Simulation
ACM Transactions on Modeling and Computer Simulation  Volume 14, Issue 4
October 2004
99 pages
ISSN:1049-3301
EISSN:1558-1195
DOI:10.1145/1029174
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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 01 October 2004
Published in TOMACS Volume 14, Issue 4

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Author Tags

  1. Bias-reducing estimators
  2. regeneration
  3. simulation
  4. steady-state estimation

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  • (2019)State Equations in Stochastic Process Algebra ModelsIEEE Access10.1109/ACCESS.2019.2902472(1-1)Online publication date: 2019
  • (2010)A regenerative bootstrap approach to estimating the initial transientProceedings of the Winter Simulation Conference10.5555/2433508.2433623(965-970)Online publication date: 5-Dec-2010
  • (2010)The initial transient in steady-state point estimationProceedings of the Winter Simulation Conference10.5555/2433508.2433529(184-197)Online publication date: 5-Dec-2010
  • (2010)The initial transient in steady-state point estimation: Contexts, a bibliography, the mse criterion, and the MSER statisticProceedings of the 2010 Winter Simulation Conference10.1109/WSC.2010.5679163(184-197)Online publication date: Dec-2010
  • (2010)A regenerative bootstrap approach to estimating the initial transientProceedings of the 2010 Winter Simulation Conference10.1109/WSC.2010.5679093(965-970)Online publication date: Dec-2010
  • (2009)New estimators for parallel steady-state simulationsWinter Simulation Conference10.5555/1995456.1995531(469-474)Online publication date: 13-Dec-2009
  • (2009)New estimators for parallel steady-state simulationsProceedings of the 2009 Winter Simulation Conference (WSC)10.1109/WSC.2009.5429354(469-474)Online publication date: Dec-2009
  • (2007)On the theoretical comparison of low-bias steady-state estimatorsACM Transactions on Modeling and Computer Simulation10.1145/1189756.118976017:1(4-es)Online publication date: 1-Jan-2007
  • (2006)A new approach for parallel steady-state simulationsProceedings of the 38th conference on Winter simulation10.5555/1218112.1218153(192-197)Online publication date: 3-Dec-2006
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