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Research and Advances

Achieving specific accuracy in simulation output analysis

This paper extends the use of the regenerative property of queueing systems in the analysis of simulation output. In particular, it describes a sequential estimation method which when used with the regenerative property allows results to be obtained with specified statistical accuracy. This method includes a test to check the normality assumption on which the sequential procedure relies. The paper illustrates the method using the empty and idle state as the regenerative state. A second example then describes how using the most frequently entered state as the regenerative state reduces the chance of making a costly error in a preliminary simulation run. The paper also described how a variance reduction method due to Page [9] can be used to obtain a specified accuracy with considerably fewer job completions than are required when no variance reduction technique is applied.
Research and Advances

Sampling from the gamma distribution on a computer

This paper describes a method of generating gamma variates that appears to be less costly than Wallace's recently suggested method. For large shape parameter &agr;; the cost of computation is proportional to √&agr;, whereas Wallace's method is proportional to &agr;. Experimentation by Robinson and Lewis indicates that for small &agr; the method suggested here also dominates methods recently suggested by Dieter and Ahrens, albeit those methods dominate for large &agr;. The method suggested here uses the rejection technique.

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