Fixed-width multiple-comparison procedures using common random numbers for steady-state simulations

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Abstract

Suppose that there are k ≥ 2 different systems (i.e., stochastic processes), where each system has an unknown steady-state mean performance. We consider the problem of running a two-stage simulation using common random numbers to construct fixed-width confidence intervals for two multiple-comparison problems. Under the assumptions that the stochastic processes representing the simulation output of the different systems satisfy a functional central limit theorem and that the asymptotic covariance matrix satisfies a condition known as sphericity, we prove that our confidence intervals are asymptotically valid (as the desired half-width of the confidence intervals tend to zero). We develop both absolute- and relative-width confidence intervals. Empirical results are presented indicating the procedures' robustness to violations of the sphericity assumption.

Original languageEnglish (US)
Pages (from-to)1330-1349
Number of pages20
JournalEuropean Journal of Operational Research
Volume182
Issue number3
DOIs
StatePublished - Nov 1 2007

All Science Journal Classification (ASJC) codes

  • Computer Science(all)
  • Modeling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management

Keywords

  • Common random numbers
  • Functional central limit theorem
  • Multiple comparisons
  • Output analysis
  • Simulation

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