Performance evaluation of recent procedures for steady-state simulation analysis

The performance of the batch-means procedure ASAP3 and the spectral procedure WASSP is evaluated on test problems with characteristics typical of practical applications of steady-state simulation analysis procedures. ASAP3 and WASSP are sequential procedures designed to produce a confidence-interval estimator for the mean response that satisfies user-specified half-length and coverage-probability requirements. ASAP3 is based on an inverse Cornish-Fisher expansion for the classical batch-means t-ratio, whereas WASSP is based on a wavelet estimator of the batch-means power spectrum. Regarding closeness of the empirical coverage probability and average half-length of the delivered confidence intervals to their respective nominal levels, both procedures compared favorably with the Law-Carson procedure and the original ASAP algorithm. Regarding the average sample sizes required for decreasing levels of maximum confidence-interval half-length, ASAP3 and WASSP exhibited reasonable efficiency in the test problems.

Acknowledgements

The authors thank Christos Alexopoulos, David Goldsman, and the anonymous referees for several suggestions which substantially improved this paper.