Performance of variance updating ranking and selection procedures

@article{Malone2005PerformanceOV,
  title={Performance of variance updating ranking and selection procedures},
  author={Gwendolyn J. Malone and Seong-Hee Kim and David Goldsman and Demet Batur},
  journal={Proceedings of the Winter Simulation Conference, 2005.},
  year={2005},
  pages={8 pp.-}
}
Kim and Nelson (2005) developed two indifference-zone procedures for steady-state simulation where the goal is to find the system with the largest or smallest expected steady-state performance measure. One of the procedures, called KN++, updates a variance estimate as more observations become available and is proven to be asymptotically valid when there is no dependence across systems (for example, there is no use of common random numbers). Their procedure exhibits significant improvement over… CONTINUE READING

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