
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 warmup 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 datadriven, and involves using observed data from the simulation to determine an estimate of the warmup 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