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Some new results on the initial transient problem

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1 Author(s)
Glynn, P.W. ; Dept. of Oper. Res., Stanford Univ., CA, USA

This paper contains two new results pertaining to the initial transient problem for steady-state simulations. Our first result rigorously establishes the asymptotic superiority of a few long replications relative to a large number of shorter replications, assuming that no initial transient deletion is attempted. Our second result concerns an initial transient detection test proposed by Schruben; we develop asymptotics that are suggestive of the types of initial transients that the test is capable of detecting. As one might expect, the ability to detect a non-stationarity in the simulation output depends both on the magnitude of the non-stationarity of the initial condition, and the degree of autocorrelation in the process

Published in:

Simulation Conference Proceedings, 1995. Winter

Date of Conference:

3-6 Dec 1995