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On the Marginal Standard Error Rule and the Testing of Initial Transient Deletion Methods

Authors:

Peter W. GlynnAuthors Info & Claims

ACM Transactions on Modeling and Computer Simulation (TOMACS), Volume 27, Issue 1

Article No.: 1, Pages 1 - 30

https://doi.org/10.1145/2961052

Published: 02 August 2016 Publication History

Abstract

In the planning of steady-state simulations, a central issue is the initial transient problem, in which an initial segment of the simulation output is adversely contaminated by initialization bias. Our article makes several contributions toward the analysis of this computational challenge. To begin, we introduce useful ways for measuring the magnitude of the initial transient effect in the single replication setting. We then analyze the marginal standard error rule (MSER) and prove that MSER’s deletion point is determined, as the simulation time horizon tends to infinity, by the minimizer of a certain random walk. We use this insight, together with fluid limit intuition associated with queueing models, to generate two nonpathological examples in which at least one variant of MSER fails to accurately predict the duration of the initial transient. Our results suggest that the efficacy of a deletion procedure is sensitive to the choice of performance measure, and that the set of standard test problems on which initial transient procedures are tested should be significantly broadened.

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Cited By

Lolos ABoone JAlexopoulos CGoldsman DDingeç KMokashi AWilson J(2024)SQSTS: A sequential procedure for estimating steady-state quantiles using standardized time seriesJournal of Simulation10.1080/17477778.2024.2362438(1-23)Online publication date: 14-Nov-2024
https://doi.org/10.1080/17477778.2024.2362438
Lin SJia LZhang HWang Y(2021)A method for assessing resilience of high-speed EMUs considering a network-based system topology and performance dataProceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability10.1177/1748006X211004515(1748006X2110045)Online publication date: 19-Mar-2021
https://doi.org/10.1177/1748006X211004515
Alexopoulos CGoldsman DMokashi ATien KWilson J(2019)Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State SimulationsOperations Research10.1287/opre.2018.1829Online publication date: 28-Jun-2019
https://doi.org/10.1287/opre.2018.1829
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Index Terms

On the Marginal Standard Error Rule and the Testing of Initial Transient Deletion Methods
1. Computing methodologies
  1. Modeling and simulation
    1. Simulation evaluation

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Published In

cover image ACM Transactions on Modeling and Computer Simulation

ACM Transactions on Modeling and Computer Simulation Volume 27, Issue 1

January 2017

150 pages

ISSN:1049-3301

EISSN:1558-1195

DOI:10.1145/2982568

Editor:
Adelinde M. Uhrmacher
University of Rostock, Germany

Issue’s Table of Contents

Copyright © 2016 ACM.

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Association for Computing Machinery

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Publication History

Published: 02 August 2016

Accepted: 01 February 2016

Revised: 01 September 2015

Received: 01 May 2013

Published in TOMACS Volume 27, Issue 1

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Arvanitidis Stanford Graduate Fellowship (SGF)
NSERC Postgraduate Scholarship (PGS D)

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Cited By

Lolos ABoone JAlexopoulos CGoldsman DDingeç KMokashi AWilson J(2024)SQSTS: A sequential procedure for estimating steady-state quantiles using standardized time seriesJournal of Simulation10.1080/17477778.2024.2362438(1-23)Online publication date: 14-Nov-2024
https://doi.org/10.1080/17477778.2024.2362438
Lin SJia LZhang HWang Y(2021)A method for assessing resilience of high-speed EMUs considering a network-based system topology and performance dataProceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability10.1177/1748006X211004515(1748006X2110045)Online publication date: 19-Mar-2021
https://doi.org/10.1177/1748006X211004515
Alexopoulos CGoldsman DMokashi ATien KWilson J(2019)Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State SimulationsOperations Research10.1287/opre.2018.1829Online publication date: 28-Jun-2019
https://doi.org/10.1287/opre.2018.1829
Glynn PWang R(2019)On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein---Uhlenbeck processQueueing Systems: Theory and Applications10.1007/s11134-018-9591-091:1-2(1-14)Online publication date: 1-Feb-2019
https://dl.acm.org/doi/10.1007/s11134-018-9591-0
Alexopoulos CGoldsman DMokashi AWilson JJohansson BJain S(2018)Sequential estimation of steady-state quantilesProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320736(1814-1825)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320736
Perez IHodge DKypraios T(2018)Auxiliary variables for Bayesian inference in multi-class queueing networksStatistics and Computing10.1007/s11222-017-9787-x28:6(1187-1200)Online publication date: 1-Nov-2018
https://dl.acm.org/doi/10.1007/s11222-017-9787-x
Whitt W(2018)A broad view of queueing theory through one issueQueueing Systems: Theory and Applications10.1007/s11134-018-9580-389:1-2(3-14)Online publication date: 1-Jun-2018
https://dl.acm.org/doi/10.1007/s11134-018-9580-3
Glynn PWang R(2018)On the rate of convergence to equilibrium for reflected Brownian motionQueueing Systems: Theory and Applications10.1007/s11134-018-9574-189:1-2(165-197)Online publication date: 1-Jun-2018
https://dl.acm.org/doi/10.1007/s11134-018-9574-1
Alexopoulos CKelton W(2017)A concise history of simulation output analysisProceedings of the 2017 Winter Simulation Conference10.5555/3242181.3242191(1-16)Online publication date: 3-Dec-2017
https://dl.acm.org/doi/10.5555/3242181.3242191
Alexopoulos CGoldsman DMokashi AWilson J(2017)Automated Estimation of Extreme Steady-State Quantiles via the Maximum TransformationACM Transactions on Modeling and Computer Simulation10.1145/312286427:4(1-29)Online publication date: 14-Nov-2017
https://dl.acm.org/doi/10.1145/3122864
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