Experiments with Initial Transient Deletion for Parallel, Replicated Steady-State Simulations

Peter W. Glynn and Philip Heidelberger
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Peter W. Glynn: Department of Operations Research, Stanford University, Stanford, California 94305
Philip Heidelberger: IBM Thomas J. Watson Research Center, Hawthorne, P.O. Box 704, Yorktown Heights, New York 10598

Management Science, 1992, vol. 38, issue 3, 400-418

Abstract: A simple and effective way to exploit parallel processors in discrete event simulations is to run multiple independent replications, in parallel, on multiple processors and to average the results at the end of the runs. We call this the method of parallel replications. This paper is concerned with using the method of parallel replications for estimating steady-state performance measures. We report on the results of queueing network simulation experiments that compare the statistical properties of several possible estimators that can be formed using this method. The theoretical asymptotic properties of these estimators were determined in Glynn and Heidelberger (1989a, b). Both the theory and the experimental results reported here strongly indicate that a nonstandard (in the context of steady-state simulation), yet easy to apply, estimation procedure is required on highly parallel machines. This nonstandard estimator is a ratio estimator. The experiments also show that use of the ratio estimator is advantageous even on machines with only a moderate degree of parallelism.

Keywords: simulation; replications; parallel processing; steady-state; estimation (search for similar items in EconPapers)
Date: 1992
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