ARD: An automated replication-deletion method for simulation analysis

Emily K. Lada, Anup C. Mokashi, James R. Wilson
2013 2013 Winter Simulations Conference (WSC)  
ARD is an automated replication-deletion procedure for computing point and confidence interval (CI) estimators for the steady-state mean of a simulation-generated output process. The CI can have userspecified values for its absolute or relative precision and its coverage probability. To compensate for skewness in the truncated sample mean for each replication, the CI incorporates a skewness adjustment. With increasingly stringent precision requirements, ARD's sampling plan increases the run
more » ... th and number of runs so as to minimize a weighted average of the mean squared errors of the following: (i) the grand mean of the truncated sample means for all runs; and (ii) the conventional replication-deletion estimator of the standard error of (i). We explain the operation of ARD, and we summarize an experimental performance evaluation of ARD. Although ARD's CIs closely conformed to given coverage and precision requirements, ARD generally required a larger computing budget than single-run procedures. 802 978-1-4799-2076-1/13/$31.00 ©2013 IEEE Lada, Mokashi, and Wilson
doi:10.1109/wsc.2013.6721472 dblp:conf/wsc/LadaMW13 fatcat:2p6tqnejfvaavoxayidltrwi54