Selecting the best system in steady-state simulations using batch means

摘要

Suppose that we want to compare k different systems, where /spl mu//sub i/ denotes the steady state mean performance of system i. Our goal is to use simulation to pick the "best" system (i.e., the one with the largest or smallest steady state mean). To do this, we present some two stage procedures based on the method of batch means. Our procedures also construct multiple comparisons with the best (MCB) confidence intervals for /spl mu//sub i/-max/sub j/spl ne/i//spl mu//sub j/, i=1,...,k. Under the assumption of an indifference zone of (absolute or relative) width /spl delta/, we can show that asymptotically (as /spl delta//spl rarr/0 with the size of the batches proportional to 1//spl delta//sup 2/), the joint probability of correctly selecting the best system and of the MCB confidence intervals simultaneously containing /spl mu//sub i/-max/sub j/spl ne/i//spl mu//sub j/, i=1,...,k, is at least 1-/spl alpha/, where /spl alpha/ is prespecified by the user.