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Detecting Initialization Bias in Simulation Output

Author

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  • Lee W. Schruben

    (Cornell University, Ithaca, New York)

Abstract

A general approach to testing for initialization bias in the mean of a simulation output series is presented. The output is transformed into a standardized test sequence that can be contrasted with a known limiting stochastic process. This transformation requires very little computation and the asymptotic theory is applicable to a wide variety of simulations. An initialization bias test is developed and several examples of its application are presented.

Suggested Citation

  • Lee W. Schruben, 1982. "Detecting Initialization Bias in Simulation Output," Operations Research, INFORMS, vol. 30(3), pages 569-590, June.
    • Handle: RePEc:inm:oropre:v:30:y:1982:i:3:p:569-590
    DOI: 10.1287/opre.30.3.569
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    Citations

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    Cited by:

    1. Enver Yücesan, 1993. "Randomization tests for initialization bias in simulation output," Naval Research Logistics (NRL), John Wiley & Sons, vol. 40(5), pages 643-663, August.
    2. Robinson, Stewart, 2007. "A statistical process control approach to selecting a warm-up period for a discrete-event simulation," European Journal of Operational Research, Elsevier, vol. 176(1), pages 332-346, January.
    3. Sheth-Voss, Pieter A. & Willemain, Thomas R. & Haddock, Jorge, 2005. "Estimating the steady-state mean from short transient simulations," European Journal of Operational Research, Elsevier, vol. 162(2), pages 403-417, April.
    4. David Goldsman & Lee W. Schruben & James J. Swain, 1994. "Tests for transient means in simulated time series," Naval Research Logistics (NRL), John Wiley & Sons, vol. 41(2), pages 171-187, March.
    5. Jacobson, Sheldon H., 1997. "The effect of initial transient on the steady-state simulation harmonic analysis gradient estimators," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(2), pages 209-221.
    6. Koning, A.J., 1999. "Goodness of fit for the constancy of a classical statistical model over time," Econometric Institute Research Papers EI 9959-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Ockerman, Daniel H. & Goldsman, David, 1999. "Student t-tests and compound tests to detect transients in simulated time series," European Journal of Operational Research, Elsevier, vol. 116(3), pages 681-691, August.
    8. Stefan Leye & Roland Ewald & Adelinde M Uhrmacher, 2014. "Composing Problem Solvers for Simulation Experimentation: A Case Study on Steady State Estimation," PLOS ONE, Public Library of Science, vol. 9(4), pages 1-13, April.
    9. K Hoad & S Robinson & R Davies, 2010. "Automating warm-up length estimation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(9), pages 1389-1403, September.
    10. David F. Muñoz & Peter W. Glynn, 2001. "Multivariate Standardized Time Series for Steady-State Simulation Output Analysis," Operations Research, INFORMS, vol. 49(3), pages 413-422, June.
    11. Sandikci, Burhaneddin & Sabuncuoglu, Ihsan, 2006. "Analysis of the behavior of the transient period in non-terminating simulations," European Journal of Operational Research, Elsevier, vol. 173(1), pages 252-267, August.

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