Factors Affecting the Variance, the Bias and the MSE of Time Averages in Markovian Event Systems

by Sethi, Sanjeev

Abstract (Summary)
In simulation, time averages are important for estimating equilibrium parameters. In particular, we would like to have the variance, bias and mean-square error for time averages. First, we will discuss various factors and their effect on the bias, the variance and the mean-square error. We will use the Markovian Event System to model various systems, including M/M/1 queues, M/E_k/1 queues, M/M/c queues, sequential queues, inventory systems and queueing networks. We use a numerical method for the computation of the variance, the bias and the mean-square error of the time average. The effectiveness of the method is tested by experimenting with models of various stochastic systems. The contribution of this thesis is to use numerical and graphical interpretations to study the general characteristics of the measures. The important characteristics included in our study are decomposability and periodicity.
Bibliographical Information:

Advisor:Osgood, Nathaniel; Grassmann, Winfried K.; Cheston, Grant A.

School:University of Saskatchewan

School Location:Canada - Saskatchewan

Source Type:Master's Thesis

Keywords:time average mes run length mse markovian event system bias variance


Date of Publication:06/13/2007

© 2009 All Rights Reserved.