A wavelet-based spectral procedure for steady-state simulation analysis
نویسندگان
چکیده
for Steady-State Simulation Analysis Emily K. Lada SAS Institute, Cary, North Carolina, 27513-8617, USA, [email protected] James R. Wilson Department of Industrial Engineering, North Carolina State University, Campus Box 7906, Raleigh, North Carolina 27695-7906, USA, [email protected] Natalie M. Steiger Maine Business School, University of Maine, Orono, Maine 04469-5723, USA, [email protected] Jeffrey A. Joines Department of Textile Engineering, Chemistry, and Science, North Carolina State University, Raleigh, North Carolina 27695-8301, USA, [email protected]
منابع مشابه
Stochastics and Statistics A wavelet - based spectral procedure for steady - state simulation analysis q
We develop WASSP, a wavelet-based spectral method for steady-state simulation analysis. First WASSP determines a batch size and a warm-up period beyond which the computed batch means form an approximately stationary Gaussian process. Next WASSP computes the discrete wavelet transform of the bias-corrected log-smoothed-periodogram of the batch means, using a soft-thresholding scheme to denoise t...
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A and an analysis are given for an experimental performance evaluation of WASSP, an automated wavelet-based spectral method for constructing an approximate confidence interval on the steady-state mean of a simulation output process such that the delivered confidence interval satisfies user-specified requirements on absolute or relative precision as well as coverage probability. The experimentat...
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One of the existing methods to build a confidence interval (c.i.) for the mean response in a single steady state simulation system is the batch means method. This method, compared to the other existing methods (autoregressive representation, regenerative cycles, spectrum analysis, standardized time series), is quite easy to understand and to implement and performs relatively well. However, the ...
متن کاملOnline Supplement to “Performance of a Wavelet-based Spectral Procedure for Steady-state Simulation Analysis”
Spectral Procedure for Steady-state Simulation Analysis” Emily K. Lada Statistical and Applied Mathematical Sciences Institute, Research Triangle Park, North Carolina, 27709-4006, USA, [email protected] James R. Wilson Department of Industrial Engineering, North Carolina State University, Campus Box 7906, Raleigh, North Carolina 27695-7906, USA, [email protected] Natalie M. Steiger Maine Busin...
متن کاملAWavelet-Based Spectral Method for Steady-State Simulation Analysis∗
We develop an automated wavelet-based spectral method for constructing an approximate confidence interval on the steady-state mean of a simulation output process. This procedure, called WASSP, determines a batch size and a warmup period beyond which the computed batch means form an approximately stationary Gaussian process. Based on the log-smoothed-periodogram of the batch means, WASSP uses wa...
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ورودعنوان ژورنال:
- European Journal of Operational Research
دوره 174 شماره
صفحات -
تاریخ انتشار 2006