A stopping rule using the quasi-independent sequence

E J Chen

Journal of Simulation, 2012, vol. 6, issue 2, 71-80

Abstract: This paper discusses the implementation of a quasi-independent (QI) stopping rule for sequential simulation procedures to determine the simulation run length and construct a confidence interval for the performance measure of a steady-state simulation. The stopping rule is practiced by progressively increasing the simulation run length until a certain number of essentially independent and identically distributed systematic samples—namely, a QI sequence—are obtained. This stopping rule can be easily incorporated into any simulation procedures. Several experimental performance evaluations are presented to demonstrate the validity of the QI stopping rule.

Date: 2012
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DOI: 10.1057/jos.2011.23

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