Comparison of Batch Means and Independent Replications Techniques to Applications of the Kalman Filter for Simulation Output Analysis.

摘要

The purpose of this thesis was twofold. First, to develop software which automated the current simulation output analysis techniques of batch means and independent replications. Second, to determine the applicability of employing Kalman filtering for simulation output analysis on an M/M/1 queue. The Output Analysis Program incorporates batch means and independent replications into a menu driven, micro-computer program. The program allows the user to quickly analyze the simulation output graphically, discard the transient, and then perform the two techniques. The Kalman Filter proved valuable in providing insight into the underlying system variance in steady state, and appeared to offer several avenues for further research, particularly in the area of transient identification. (kr)