Accession Number:

ADA256611

Title:

Identification of the Initial Transient in Discrete-Event Simulation Output Using the Kalman Filter

Descriptive Note:

Doctoral thesis,

Corporate Author:

AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH SCHOOL OF ENGINEERING

Personal Author(s):

Report Date:

1992-12-01

Pagination or Media Count:

295.0

Abstract:

Data truncation is a commonly accepted method of dealing with initialization bias in discrete-event simulation. Algorithms for determining the appropriate initial-data truncation point for univariate and multivariate output are proposed. The techniques entail averaging across replications and estimating a steady-state output model in a state-space framework. Using the estimated model, Multiple Model Adaptive Estimation MMAE, which uses Kalman filters with different parameter vectors, is applied. Based on the filters residuals, the conditional probabilities of each filters specific parameter vector being correct are determined. The MMAE parameter estimates are the probabilistic- weighted average of the filters assumed parameter vectors. The estimated truncation point is selected when a vector norm of the difference between an estimate of the steady-state mean vector and the MMAE time-varying estimated mean vector are within a small tolerance. A Monte Carlo analysis using data generated from discrete-event simulations are used to evaluate the techniques. The evaluation criteria include the ability to accurately estimate and to construct reliable confidence regions for the vector of the response means based on the truncated sequences. Simulation, bias, truncation, Kalman filter, Multiple Model Adaptive Estimatation

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE