DIGITAL COMPUTER SIMULATION: THE ALLOCATION OF COMPUTER TIME IN COMPARING SIMULATION EXPERIMENTS,
RAND CORP SANTA MONICA CALIF
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The memorandum investigates the problem of efficiently allocating computer time between two simulation experiments when the objective is to make a statistical comparison of means. For a given level of accuracy our results show that significantly less computer time is required when the sample sizes are determined according to a certain rule than when the sample sizes are equal. A graphical analysis suggests that small errors in estimating the vital parameters of the allocation rule do not significantly affect the efficient allocation of time. The influence that the degree of autocorrelation has on the time allocation is also investigated results show that small differences in the autocorrelation functions are important when each process is highly correlated. Positively correlated samples for the two experiments and negatively correlated replications for each experiment are examined and incorporated into the efficient allocation rule. It is shown that their use clearly leads to a saving in computer time. A two-stage procedure is described wherein initial estimates of the vital parameters are computed and then final estimates are computed at the end of the experiments. The procedure is simple and straightforward to implement and should be of practical value.
- Statistics and Probability
- Computer Programming and Software
- Computer Hardware