On the asymptotic validity of fully sequential selection procedures for steady-state simulation

Seong Hee Kim*, Barry L. Nelson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

66 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)475-488
Number of pages14
JournalOperations Research
Volume54
Issue number3
DOIs
StatePublished - May 2006

Keywords

  • Simulation: ranking and selection
  • Steady-state simulation

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research

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