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.

PDF Url : ADA295803

Report Date : 08 APR 1995

Pagination or Media Count : 11

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