Confidence intervals from a single simulation using the delta method

Christoph Roser, Masaru Nakano

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This paper describes a method for the calculation of confidence intervals of simulation throughputs and utilizations. The method is based on the delta method and uses only a single simulation, where the variation of the underlying means is used to determine the variation of the performance function by using the first derivative of the performance function. While the method has some limitations, it can be used frequently in practice. In addition, the method can also be used for short simulations or rare event applications, where methods based on batch means fail. This method can easily be implemented into existing simulation software.

Original languageEnglish
Pages (from-to)67-72
Number of pages6
JournalJSME International Journal, Series C: Mechanical Systems, Machine Elements and Manufacturing
Volume46
Issue number1
DOIs
Publication statusPublished - 2003 Mar 1
Externally publishedYes

Keywords

  • Confidence intervals
  • Flexible Manufacturing System (FMS)
  • Measurement and control
  • Prediction accuracy

ASJC Scopus subject areas

  • Mechanical Engineering
  • Industrial and Manufacturing Engineering

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