On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation
Seong-Hee Kim, Barry L. Nelson
Operations Research · 2006 · Volume 54 · Issue 3
Abstract
We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when “best” is defined by the largest or smallest long-run average performance. We also provide a framework for establishing the asymptotic validity of such procedures and prove the validity of our procedures. An example based on the M/M /1 queue is given.
Keywords
simulation, ranking and selection, steady-state simulation
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