By Topic

A large deviations view of asymptotic efficiency for simulation estimators

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$33 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Peter W. Glynn ; Department of Management Science and Engineering, Stanford University, CA 94305, U.S.A. ; Sandeep Juneja

Consider a simulation estimator ¿(c) based on expending c units of computer time, to estimate a quantity ¿. One measure of efficiency is to attempt to minimize P(|¿(c)-¿|>¿) for large c. This helps identify estimators with less likelihood of witnessing large deviations. In this article we establish an exact asymptotic for this probability when the underlying samples are independent and a weaker large deviations result under more general dependencies amongst the underlying samples.

Published in:

2008 Winter Simulation Conference

Date of Conference:

7-10 Dec. 2008