TY - GEN
T1 - Variance and derivative estimation for virtual performance in simulation analytics
AU - Lin, Yujing
AU - Nelson, Barry L.
N1 - Funding Information:
This research was partially supported by the National Science Foundation under Grant Number CMMI-1537060 and GOALI co-sponsor SAS Institute.
Publisher Copyright:
© 2017 IEEE.
PY - 2017/6/28
Y1 - 2017/6/28
N2 - Virtual performance is a class of time-dependent performance measures conditional on a particular event occurring at timet0 for a (possibly) nonstationary stochastic process; virtual waiting time of a customer arriving to a queue at time t0 is one example. Virtual statistics are estimators of the virtual performance. In this paper, we go beyond the mean to propose estimators for the variance, and for the derivative of the mean with respect to time, of virtual performance, examining both their small-sample and asymptotic properties. We also provide a modified K-fold cross validation method for tuning the parameter k for the difference-based variance estimator, and evaluate the performance of both variance and derivative estimators via controlled studies. The variance and derivative provide useful information that is not apparent in the mean of virtual performance.
AB - Virtual performance is a class of time-dependent performance measures conditional on a particular event occurring at timet0 for a (possibly) nonstationary stochastic process; virtual waiting time of a customer arriving to a queue at time t0 is one example. Virtual statistics are estimators of the virtual performance. In this paper, we go beyond the mean to propose estimators for the variance, and for the derivative of the mean with respect to time, of virtual performance, examining both their small-sample and asymptotic properties. We also provide a modified K-fold cross validation method for tuning the parameter k for the difference-based variance estimator, and evaluate the performance of both variance and derivative estimators via controlled studies. The variance and derivative provide useful information that is not apparent in the mean of virtual performance.
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U2 - 10.1109/WSC.2017.8247922
DO - 10.1109/WSC.2017.8247922
M3 - Conference contribution
AN - SCOPUS:85044538546
T3 - Proceedings - Winter Simulation Conference
SP - 1856
EP - 1867
BT - 2017 Winter Simulation Conference, WSC 2017
A2 - Chan, Victor
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2017 Winter Simulation Conference, WSC 2017
Y2 - 3 December 2017 through 6 December 2017
ER -