DocumentCode
1622664
Title
Simulation-based estimation of quantiles
Author
Chen, E. Jack ; Kelton, W. David
Author_Institution
Dept. of Quantitative Anal. & Oper. Manage., Cincinnati Univ., OH, USA
Volume
1
fYear
1999
fDate
6/21/1905 12:00:00 AM
Firstpage
428
Abstract
This paper discusses the implementation of a sequential quantile-estimation algorithm for highly correlated steady-state simulation output. The primary focus is on issues related to computational and storage requirements of order statistics. The algorithm can compute exact sample quantiles and process sample sizes up to several billion without storing and sorting the whole sequence. The algorithm dynamically increases the sample size so that the quantile estimated satisfies a pre-specified precision requirement
Keywords
estimation theory; probability; simulation; statistics; computational requirements; order statistics; sequential quantile-estimation algorithm; simulation-based estimation; steady-state simulation output; storage requirements; Algorithm design and analysis; Analytical models; Computational modeling; Heuristic algorithms; Lifting equipment; Random variables; Robustness; Sorting; Statistics; Steady-state;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference Proceedings, 1999 Winter
Conference_Location
Phoenix, AZ
Print_ISBN
0-7803-5780-9
Type
conf
DOI
10.1109/WSC.1999.823105
Filename
823105
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