We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when "best" is defined by the largest or smallest long-run average performance. We also provide a framework for establishing the asymptotic validity of such procedures and prove the validity of our procedures. An example based on the M/M/1 queue is given.
- Simulation: ranking and selection
- Steady-state simulation
ASJC Scopus subject areas
- Computer Science Applications
- Management Science and Operations Research