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SBatch: A spaced batch means procedure for steady-state simulation analysis

Author

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  • E K Lada
  • N M Steiger
  • J R Wilson

Abstract

We discuss SBatch, a simplified procedure for steady-state simulation analysis that is based on spaced batch means, incorporating many advantages of its predecessors ASAP3 and WASSP while avoiding many of their disadvantages. SBatch is a sequential procedure designed to produce a confidence-interval (CI) estimator for the steady-state mean response that satisfies user-specified precision and coverage-probability requirements. First SBatch determines a batch size and an interbatch spacer size such that beyond the initial spacer, the spaced batch means approximately form a stationary first-order autoregressive process whose lag-one correlation does not significantly exceed 0.8. Next SBatch delivers a correlation-adjusted CI based on the sample variance and lag-one correlation of the spaced batch means as well as the grand mean of all the individual observations beyond the initial spacer. In an experimental evaluation on a broad range of test problems, SBatch compared favourably with ASAP3 and WASSP.

Suggested Citation

  • E K Lada & N M Steiger & J R Wilson, 2008. "SBatch: A spaced batch means procedure for steady-state simulation analysis," Journal of Simulation, Taylor & Francis Journals, vol. 2(3), pages 170-185, November.
    • Handle: RePEc:taf:tjsmxx:v:2:y:2008:i:3:p:170-185
    DOI: 10.1057/jos.2008.11
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