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Indirect estimation of cycle time quantiles from discrete event simulation models using the Cornish-Fisher expansion

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3 Author(s)
McNeill, J.E. ; Ind. Eng. Dept., Arizona State Univ., Tempe, AZ, USA ; Mackulak, G.T. ; Fowler, J.W.

We introduce a new technique for estimating cycle time quantiles from discrete event simulation models run at a single traffic intensity. The Cornish-Fisher expansion is used as a vehicle for this approximation, and it is shown that for an M/M/1 system and a full factory simulation model, the technique provides accurate results with low variability for the most commonly estimated quantiles without requiring unreasonable sample sizes. Additionally, the technique provides the advantages of being easy to implement and providing multiple cycle time quantiles from a single set of simulation runs.

Published in:

Simulation Conference, 2003. Proceedings of the 2003 Winter  (Volume:2 )

Date of Conference:

7-10 Dec. 2003