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On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation

School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332
Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208-3119
skim{at}isye.gatech.edu
nelsonb{at}northwestern.edu

We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when "best" is defined by the largest or smallest long-run average performance. We also provide a framework for establishing the asymptotic validity of such procedures and prove the validity of our procedures. An example based on the M/M/1 queue is given.

Subject classifications: simulation; ranking and selection; steady-state simulation.
History: Received July 2001; revision received October 2002; revision received April 2003; revision received March 2004; revision received January 2005; accepted April 2005.

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