Two-stage procedures for multiple comparisons with a control in steady-state simulations

H. Damerdji, M. K. Nakayama

Research output: Contribution to journalConference articlepeer-review

4 Scopus citations

Abstract

Suppose that we have k different stochastic systems, where μi denotes the steady-state mean of system i. We assume that the system labeled k is a control and want to compare the performance of the other systems, labeled 1,2,...,k-1, relative to the control. This problem is known in the statistical literature as multiple comparisons with a control (MCC). Independent steady-state simulations will be performed to compare the systems to the control. Two-stage procedures, based on the method of batch means, are presented to construct simultaneous lower onesided confidence intervals for μi - μk (i = 1, 2, ..., k), each having prespecified (absolute or relative) halfwidth δ. Under the assumption that the stochastic processes representing the evolution of the systems satisfy a functional central limit theorem, it can be shown that asymptotically (as δ → 0 with the size of the batches proportional to 1/δ2), the joint probability that the confidence intervals simultaneously contain the μi - μk (i =/ 1, 2, ..., k-1) is at least 1 - α, where α is prespecified by the user.

Original languageEnglish (US)
Pages (from-to)372-375
Number of pages4
JournalWinter Simulation Conference Proceedings
StatePublished - Dec 1 1996
Externally publishedYes
EventProceedings of the 1996 Winter Simulation Conference, WSC'96 - Coronado, CA, USA
Duration: Dec 8 1996Dec 11 1996

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Chemical Health and Safety
  • Applied Mathematics

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