Single Simulation Confidence Intervals

This paper presents a method to determine the confidence intervals of many simulation performance measures based on a single simulation. The confidence intervals of independent variables can be calculated directly. The confidence interval of performance functions of means can be calculated using the delta method, as for example for utilizations, frequencies, and throughputs. This allows the measurement of the accuracy of the utilizations, frequencies and throughputs using only a single simulation by using the variation of the underlying means of the performance function. The presented method is highly accurate, fast, and easy to apply. In addition, the method can also be used for short simulations or rare event applications, where methods based on batch means fail. Furthermore, this method can easily be implemented into existing simulation software.

File Name: 2002_JUSFA-Single-Simulation-Confidence-Intervals-Preprint.pdf
File type: pdf
File size: 138.72 KB
Date: February 9, 2015
SEO Title: Single Simulation Confidence Intervals
SEO Description: This paper presents a method to determine the confidence intervals of many simulation performance measures based on a single simulation. The confidence intervals of independent variables can be calculated directly. The confidence interval of performance functions of means can be calculated using the delta method, as for example for utilizations, frequencies, and throughputs. This allows the measurement of the accuracy of the utilizations, frequencies and throughputs using only a single simulation by using the variation of the underlying means of the performance function. The presented method is highly accurate, fast, and easy to apply. In addition, the method can also be used for short simulations or rare event applications, where methods based on batch means fail. Furthermore, this method can easily be implemented into existing simulation software.
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