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Markov chains for exploring posterior distributions
 Annals of Statistics
, 1994
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Cited by 751 (6 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
Simulation run lengths to estimate blocking probabilities
 ACM Transactions on Modelling and Computer Simulation
, 1996
"... We derive formulas approximating the asymptotic variance of four estimators for the steadystate blocking probability in a multiserver loss system, exploiting diffusion process limits. These formulas can be used to predict simulation run lengths required to obtain desired statistical precision befor ..."
Abstract

Cited by 24 (19 self)
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We derive formulas approximating the asymptotic variance of four estimators for the steadystate blocking probability in a multiserver loss system, exploiting diffusion process limits. These formulas can be used to predict simulation run lengths required to obtain desired statistical precision before the simulation has been run, which can aid in the design of simulation experiments. They also indicate that one estimator can be much better than another, depending on the loading. An indirect estimator based on estimating the mean occupancy is significantly more (less) efficient than a direct estimator for heavy (light) loads. A major concern is the way computational effort scales with system size. For all the estimators, the asymptotic variance tends to be inversely proportional to the system size, so that the computational effort (regarded as proportional to the product of the asymptotic variance and the arrival rate) does not grow as system size increases. Indeed, holding the blocking probability fixed, the computational effort with a good estimator decreases to 0 as the system size increases. The asymptotic variance formulas also reveal the impact of the arrivalprocess and servicetime variability on the statistical precision. We validate these formulas by comparing them to exact numerical
To Batch Or Not To Batch
, 2003
"... one is often faced with the choice of batching observations in one long run or replicating a number of smaller runs. Both methods are potentially useful in simulation output analysis. In its simplest form, the choice boils down to: Should we divide one long run into b adjacent, nonoverlapping batche ..."
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Cited by 21 (9 self)
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one is often faced with the choice of batching observations in one long run or replicating a number of smaller runs. Both methods are potentially useful in simulation output analysis. In its simplest form, the choice boils down to: Should we divide one long run into b adjacent, nonoverlapping batches, each of size m? Or should we conduct b independent replications, each of length m? We give results and examples to lend insight as to when one method might be preferred over the other. In the steadystate case, batching and replication perform about the same in terms of estimating the mean and variance parameter, though replication tends to do better than batching when it comes to the performance of confidence intervals for the mean. On the other hand, batching can often do better than replication when it comes to point and confidenceinterval estimation of the steadystate mean in the presence of an initial transient. This is not particularly surprising, and is a common rule of thumb in the folklore.
Proceedings of the 2001 Winter Simulation Conference
"... Proper education of a modeling and simulation professional meeting the extensive criteria imposed by the community poses significant challenges. In this paper, we explore the formation of a universitybased education in modeling and simulation to meet the challenges. We examine the factors affecting ..."
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Proper education of a modeling and simulation professional meeting the extensive criteria imposed by the community poses significant challenges. In this paper, we explore the formation of a universitybased education in modeling and simulation to meet the challenges. We examine the factors affecting the composition of a modeling and simulation course. Based on the anticipated consequences, we propose potential solutions.
Proceedings of the 2002 Winter Simulation Conference
"... A simulation model is successful if it leads to policy action, i.e., if it is implemented. Studies show that for a model to be implemented, it must have good correspondence with the mental model of the system held by the user of the model. The user must feel confident that the simulation model corre ..."
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A simulation model is successful if it leads to policy action, i.e., if it is implemented. Studies show that for a model to be implemented, it must have good correspondence with the mental model of the system held by the user of the model. The user must feel confident that the simulation model corresponds to this mental model. An understanding of how the model works is required. Simulation models for implementation must be developed step by step, starting with a simple model, the simulation prototype. After this has been explained to the user, a more detailed model can be developed on the basis of feedback from the user. Software for simulation prototyping is discussed, e.g., with regard to the ease with which models and output can be explained and the speed with which small models can be written.
Proceedings of the 2003 Winter Simulation Conference
"... The model used in this report focuses on the analysis of ship waiting statistics and stock fluctuations under different arrival processes. However, the basic outline is the same: central to both models are a jetty and accompanying tankfarm facilities belonging to a new chemical plant in the Po ..."
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The model used in this report focuses on the analysis of ship waiting statistics and stock fluctuations under different arrival processes. However, the basic outline is the same: central to both models are a jetty and accompanying tankfarm facilities belonging to a new chemical plant in the Port of Rotterdam. Both the supply of raw materials and the export of finished products occur through ships loading and unloading at the jetty. Since disruptions in the plants production process are very expensive, buffer stock is needed to allow for variations in ship arrivals and overseas exports through large ships. Ports provide jetty facilities for ships to load and unload their cargo. Since ship delays are costly, terminal operators attempt to minimize their number and duration. Here, simulation has proved to be a very suitable tool. However, in port simulation models, the impact of the arrival process of ships on the model outcomes tends to be underestimated. This article considers three arrival processes: stockcontrolled, equidistant per ship type, and Poisson. We assess how their deployment in a port simulation model, based on data from a real case study, affects the efficiency of the loading and unloading process. Poisson, which is the chosen arrival process in many clientoriented simulations, actually performs worst in terms of both ship delays and required storage capacity. Stockcontrolled arrivals perform best with regard to ship delays and required storage capacity. In the case study two types of arrival processes were considered. The first type are the socalled stockcontrolled arrivals, i.e., ship arrivals are scheduled in such a way, that a base stock level is maintained in the tanks. Given a base stock level of a raw material or ...