Sequential steady-state simulation: rules of thumb for improving accuracy of the final results

摘要

It is generally accepted that sequential stochastic simulation is the only practical approach allowing control of the statistical error of the results of steady-state stochastic simulation. A commonly used stopping rule of such stochastic simulation is based on the relative statistical error, since then the magnitude of the point estimates does not need to be known beforehand. This relative statistical error of the simulation results can be measured by the ratio of the half-width of the confidence in terval and the point estimate of an analysed performance measure. Sequential simulation is stopped when this ratio assumes a satisfactorily low value.