模擬輸出分析之理論發展及其應用

Methodology and Application in Simulation Output Analysis

遲銘璋(Chih, Mingchang)

指導教授 ： 桑慧敏

國立清華大學/工學院/工業工程與工程管理學系/博士(2009年)

摘要

A classical problem of stochastic simulation is how to estimate the variance of the sample mean from dependent but stationary outputs. Traditional estimators of the variance of the sample mean require specification of the simulation
run length a priori. To our knowledge, the dynamic non-overlapping batch means (DNBM) and dynamic partial overlapping batch means (DPBM) are the only two existing variance estimators without assuming that the simulation run
length (data size) is known in advance.
Obtaining good estimators of the variance of the sample mean without assuming that the data size is known in advance is the primary motivation of the author's dissertation research. The research encompasses five areas:
1. The creation of improving the DPBMin terms of the storage space.
2. The creation of proposing the 100(1−w−1)%DOBM, which is a generalization of DNBM and DPBM.
3. The creation of obtaining finite-memory algorithms to extend DPBM algorithm to reflect the correlation structure of the data.
4. The investigation of developing MSE-optimalDPBM algorithms to estimate the variance of the sample via estimating the optimal batch size of the estimator.
5. In addition, we apply simulation to study a physical examination service to
improve the system efficiency.

關鍵字

模擬輸出分析

並列摘要

無資料

並列關鍵字

Simulation Output Analysis

參考文獻

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Babes, M. and Sarma, G. V. (1991) Out-patient queues at the Ibn-Rochd Health Centre. Journal of the Operational Research Society, 42, 845-855.

Bartlett, M. S. (1946) On the Theoretical Specification of Sampling Properties of Autocorrelated Time Series. J. Royal Statist. Soc. 108, 27–41.

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