## Simulation run lengths to estimate blocking probabilities (1996)

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Venue: | ACM Transactions on Modelling and Computer Simulation |

Citations: | 24 - 19 self |

### BibTeX

@ARTICLE{Srikant96simulationrun,

author = {Rayadurgam Srikant and Ward Whitt},

title = {Simulation run lengths to estimate blocking probabilities},

journal = {ACM Transactions on Modelling and Computer Simulation},

year = {1996},

volume = {6},

pages = {7--52}

}

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### Abstract

We derive formulas approximating the asymptotic variance of four estimators for the steadystate blocking probability in a multi-server 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 arrival-process and service-time variability on the statistical precision. We validate these formulas by comparing them to exact numerical