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
Link To Document :
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