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Author: Winfried Grassmann

Affiliation: University of Saskatchewan, Canada

Keyword(s): Steady-state Simulation, Multiple Runs, Initialization Bias.

Related Ontology Subjects/Areas/Topics: Computer Simulation Techniques ; Simulation and Modeling ; Simulation Tools and Platforms

Abstract: In complex stochastic systems, Monte-Carlo simulation is often the only way to estimate equilibrium expectations. The question then arises what is better: a single run of length T, or n runs, each of length T/n. In this paper, it is argued that if there is a good state to start the simulation in, multiple runs may be advantageous. To illustrate this, we use numerical examples. These examples are obtained by using deterministic methods, that is, methods based on probability theory not using Monte-Carlo methods. The results of our numerical calculations forced us to make a sharp distinction between the time to reach equilibrium and the appropriate length of the warm-up period, and this distinguishes our study from earlier investigations.

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Paper citation in several formats:
Grassmann, W. (2015). Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations. In Proceedings of the 5th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - SIMULTECH; ISBN 978-989-758-120-5; ISSN 2184-2841, SciTePress, pages 138-144. DOI: 10.5220/0005535501380144

@conference{simultech15,
author={Winfried Grassmann.},
title={Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations},
booktitle={Proceedings of the 5th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - SIMULTECH},
year={2015},
pages={138-144},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005535501380144},
isbn={978-989-758-120-5},
issn={2184-2841},
}

TY - CONF

JO - Proceedings of the 5th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - SIMULTECH
TI - Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations
SN - 978-989-758-120-5
IS - 2184-2841
AU - Grassmann, W.
PY - 2015
SP - 138
EP - 144
DO - 10.5220/0005535501380144
PB - SciTePress