Simulation output analysis based on excursions

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Abstract

We consider the steady state output analysis problem for a process that satisfies a functional central limit theorem. We construct asymptotically valid confidence intervals for the steady-state mean using normalized excursions of the simulated process. An alternative approach splits the output at the last zero crossing of the normalized path. The methods use a bounded memory of size determined by the user.

Original languageEnglish (US)
Pages (from-to)681-684
Number of pages4
JournalProceedings - Winter Simulation Conference
Volume1
StatePublished - Dec 1 2004

All Science Journal Classification (ASJC) codes

  • Engineering(all)

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