Optimal Tests for Initialization Bias in Simulation Output

L. Schruben; H. SINGH; L. Tierney

doi:10.1287/opre.31.6.1167

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Optimal Tests for Initialization Bias in Simulation Output

L. Schruben¹; H. SINGH¹; L. Tierney²

¹ Cornell University, Ithaca, New York · ² Carnegie-Mellon University, Pittsburgh, Pennsylvania

Operations Research 1983

We present a family of tests for detecting initialization bias in the mean of a simulation output series using a hypothesis testing framework. The null hypothesis is that the output mean does not change throughout the simulation run. The alternative hypothesis specifies a general transient mean function. The tests are asymptotically optimal based on cumulative sums of deviations about the sample mean. A particular test in this family is applied to a variety of simulation models. The test requires very modest computation and appears to be both robust and powerful.

DOI: 10.1287/opre.31.6.1167
Volume: 31 (6)
Pages: 1167-1178
Language: en
Export: BibTeX
Sources: crossref