On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation

Seong-Hee Kim () and Barry L. Nelson ()
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Seong-Hee Kim: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332
Barry L. Nelson: Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208-3119

Operations Research, 2006, vol. 54, issue 3, 475-488

Abstract: We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when “best” is defined by the largest or smallest long-run average performance. We also provide a framework for establishing the asymptotic validity of such procedures and prove the validity of our procedures. An example based on the M/M /1 queue is given.

Keywords: simulation; ranking and selection; steady-state simulation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:54:y:2006:i:3:p:475-488

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