Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation

Barry L. Nelson and Frank J. Matejcik
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Barry L. Nelson: Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208-3119
Frank J. Matejcik: Industrial Engineering, South Dakota School of Mines and Technology, Rapid City, South Dakota 57701-3995

Management Science, 1995, vol. 41, issue 12, 1935-1945

Abstract: We present a general recipe for constructing experiment design and analysis procedures that simultaneously provide indifference-zone selection and multiple-comparison inference for choosing the best among k simulated systems. We then exhibit two such procedures that exploit the variance-reduction technique of common random numbers to reduce the sample size required to attain a fixed precision. One procedure is based on the Bonferroni inequality and is guaranteed to be statistically conservative. The other procedure is exact under a specific dependence structure, but may be slightly liberal otherwise. Both are easy to apply, requiring only simple calculations and tabled constants. We illustrate the procedures with a numerical example.

Keywords: common random numbers; variance reduction; multiple comparisons; output analysis; simulation (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (23)

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