Title :
A regenerative bootstrap approach to estimating the initial transient
Author :
Glynn, Peter W. ; Zhang, Xiaowei
Author_Institution :
Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA, USA
Abstract :
We propose a new algorithm for identifying the duration of the initial transient for a regenerative stochastic process. The algorithm involves re-sampling of the simulated cycles, and therefore has a “bootstrap” flavor. The paper includes a derivation of the estimator for the duration of the transient that offers theoretical support for its validity, and provides a preliminary numerical investigation of the estimator´s properties.
Keywords :
identification; initial value problems; stochastic processes; transients; initial transient; regenerative bootstrap approach; simulated cycles; Computational modeling; Estimation; Mathematical model; Numerical models; Servers; Steady-state; Transient analysis;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location :
Baltimore, MD
Print_ISBN :
978-1-4244-9866-6
DOI :
10.1109/WSC.2010.5679093
