Name
Abstract | ||
|---|---|---|
AbstractSequest is an automated sequential simulation-analysis procedure designed to provide improved point and confidence-interval (CI) estimators for a designated steady-state quantile by the use of batching and sectioning. The procedure incorporates techniques to do the following: (i) reduce the absolute bias of the sectioning-based point estimator caused by atypical simulation initialization or an inadequate sample size, (ii) adjust the batching-based CI half-length to compensate for correlation or skewness of the batch quantile estimators used in computing the CI half-length, and (iii) obtain a sample size sufficient to yield a CI satisfying user-specified requirements on the CI’s coverage probability and its absolute or relative precision. In a set of difficult test problems, Sequest compared favorably with its competitors, requiring smaller average sample sizes while delivering better CI conformance to the given coverage and precision requirements. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1287/opre.2018.1829 | Periodicals |
Keywords | Field | DocType |
quantile estimation,method of batching,method of sectioning,sequential procedure,steady-state simulation | Mathematical optimization,Steady state simulation,Quantile,Steady state,Mathematics,Estimator | Journal |
Volume | Issue | ISSN |
67 | 4 | 0030-364X |
Citations | PageRank | References |
1 | 0.35 | 0 |
Authors | ||
5 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Christos Alexopoulos | 1 | 426 | 77.68 |
| David Goldsman | 2 | 904 | 159.71 |
| Anup C. Mokashi | 3 | 7 | 2.94 |
| Kai-Wen Tien | 4 | 5 | 1.83 |
| James R. Wilson | 5 | 840 | 143.42 |