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
Distribution Statement : APPROVED FOR PUBLIC RELEASE