Accession Number:

ADA021447

Title:

Determination of Run Length in Simulations of Stable Stochastic Systems.

Descriptive Note:

Technical rept.,

Corporate Author:

CONTROL ANALYSIS CORP PALO ALTO CALIF

Personal Author(s):

• Robinson,David W.

Report Date:

1976-02-01

Pagination or Media Count:

47.0

Abstract:

Existing results in the theory of sequential estimation are not broad enough to provide the simulation practitioner with adequate guidance as to when to terminate a simulation run. This report extends the theory to include estimates which arise in simulations and then describes a series of experiments undertaken to investigate the effect of random stopping rules in regenerative simulations. It is found that extreme care must be exercised in interpreting the results of such simulations because the probability coverage of the final confidence interval is often much lower than the a priori specified value.

Descriptors:

• *STOCHASTIC PROCESSES
• *SEQUENTIAL ANALYSIS
• *SAMPLING
• SIMULATION
• ESTIMATES
• MATHEMATICAL PREDICTION
• CONFIDENCE LIMITS

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE