Accession Number : ADA300838

Title :   Some New Results on 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 : ADA300838

Report Date : JUN 1995

Pagination or Media Count : 8

Abstract : This paper contains two new results pertaining to the initial transient problem for steady-state simulations. Our first result rigorously establishes the asymptotic superiority of a few long replications relative to a large number of shorter replications, assuming that no initial transient deletion is attempted. Our second result concerns an initial transient detection test proposed by Schruben; we develop asymptotics that are suggestive of the types of initial transients that the test is capable of detecting. As one might expect, the ability to detect a non-stationarity in the simulation output depends both on the magnitude of the non-stationarity of the initial condition, and the degree of autocorrelation in the process.

Descriptors :   *TRANSIENTS, *PROBLEM SOLVING, TEST AND EVALUATION, OUTPUT, SIMULATION, STEADY STATE, ARMY RESEARCH, DETECTION, AUTOCORRELATION.

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE