SBatch: A spaced batch means procedure for steady-state simulation analysis

E K Lada, N M Steiger and J R Wilson

Journal of Simulation, 2008, vol. 2, issue 3, 170-185

Abstract: We discuss SBatch, a simplified procedure for steady-state simulation analysis that is based on spaced batch means, incorporating many advantages of its predecessors ASAP3 and WASSP while avoiding many of their disadvantages. SBatch is a sequential procedure designed to produce a confidence-interval (CI) estimator for the steady-state mean response that satisfies user-specified precision and coverage-probability requirements. First SBatch determines a batch size and an interbatch spacer size such that beyond the initial spacer, the spaced batch means approximately form a stationary first-order autoregressive process whose lag-one correlation does not significantly exceed 0.8. Next SBatch delivers a correlation-adjusted CI based on the sample variance and lag-one correlation of the spaced batch means as well as the grand mean of all the individual observations beyond the initial spacer. In an experimental evaluation on a broad range of test problems, SBatch compared favourably with ASAP3 and WASSP.

Date: 2008
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DOI: 10.1057/jos.2008.11

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