Sequential Percentile Estimation for Sequential Steady-State Simulation


The KIPS Transactions:PartD, Vol. 10, No. 6, pp. 1025-1032, Oct. 2003
10.3745/KIPSTD.2003.10.6.1025,   PDF Download:

Abstract

Percentiles are convenient measures of the entire range of values of simulation outputs. However, unlike means and standard deviations, the observations have to be stored since calculation time. The best possible computation time to sort n observation is (o(nlogn)), and memory proportional to n is required to store sorted values in order to find a given order statistic. Several approaches for estimating percentiles in RS(regenerative simulation) and non-RS, which can avoid difficulties of PE, have been proposed in. In this paper, we implemented these three approaches known as : linear PE, batching PE, apectral P*P PE in the context of sequential steady-state simulation Numerical results of coverage analysis of these three PE approaches are presented.


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Cite this article
[IEEE Style]
L. J. Sug and J. H. Deog, "Sequential Percentile Estimation for Sequential Steady-State Simulation," The KIPS Transactions:PartD, vol. 10, no. 6, pp. 1025-1032, 2003. DOI: 10.3745/KIPSTD.2003.10.6.1025.

[ACM Style]
Lee Jong Sug and Jeong Hae Deog. 2003. Sequential Percentile Estimation for Sequential Steady-State Simulation. The KIPS Transactions:PartD, 10, 6, (2003), 1025-1032. DOI: 10.3745/KIPSTD.2003.10.6.1025.