Accession Number:

ADA295803

Title:

Two Approaches to the Initial Transient Problem.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH

Personal Author(s):

• Glynn, Peter W.

Report Date:

1995-04-08

Pagination or Media Count:

11.0

Abstract:

This paper describes two different approaches to dealing with the initial transient problem. In the first approach, the length of the warm-up period is determined by obtaining analytical estimates on the rate of convergence to stationarity. Specifically, we obtain an upper bound on the second eigenvalue of the transition matrix of a Markov chain, thereby providing one with a theoretical device that potentially can give estimates of the desired form. The second approach is data-driven, and involves using observed data from the simulation to determine an estimate of the warm-up period. For the method we study, we are able to use a coupling argument to establish a number of important theoretical properties of the algorithm. AN

Descriptors:

• *MATHEMATICAL MODELS
• *EIGENVALUES
• *MARKOV PROCESSES
• ALGORITHMS
• SIMULATION
• PROBABILITY DISTRIBUTION FUNCTIONS
• MATRICES(MATHEMATICS)
• ANALYSIS OF VARIANCE
• ESTIMATES
• CONVERGENCE

Subject Categories:

• Statistics and Probability
• Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE