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Coverage Error for Confidence Intervals Arising in Simulation Output Analysis
Coverage Error Confidence Intervals Arising Simulation Output Analysis
2015/7/8
Coverage error asymptotics for confidence intervals arising in simulation are discussed~ Asymptotic expansions, to order O(n-1) (n is the sample size), are given for confidence intervals associated wi...
Confidence Regions for Stochastic Approximation Algorithms
Confidence Regions Stochastic Approximation Algorithms
2015/7/8
In principle, known central limit theorems for stochastic approximation schemes permit the simulationist to provide confidence regions for both the optimum and optimizer of a stochastic optimization p...
Robustness Properties and Confidence Interval Reliability
Robustness Properties Confidence Interval Reliability
2015/7/6
In this chapter, we discuss the robustness and reliability of the estimators of the probability of a rare event (or, more generally, of the expectation of some function of rare events) with respect to...
Asymptotic Validity of Batch Means Steady-State Confidence Intervals
Asymptotic Validity Batch Means Steady-State Confidence Intervals
2015/7/6
Themethod of batch means is a widely applied procedure for constructing steady-state confidence intervals. The traditional theoretical support for the method of batch means has rested on the assumptio...
Simulation-Based Confidence Bounds for Two-Stage Stochastic Programs
Stochastic programming Linear programming Probability theory
2015/7/6
This paper provides a rigorous asymptotic analysis and justification of upper and lower confidence bounds proposed by Dantzig and Infanger (1995) for an iterative sampling-based decomposition algorith...