Firstname: Barry L.
Institution: Northwestern University
Street: 2145 Sheridan Road, Room C210
City: Evanston, IL
Authors: Barry L. Nelson
Title: Asymptotic Analysis of a Fully Sequential Selection Procedure for Steady-State Simulation
Abstract: We present a fully sequential indifference-zone selection procedure for use in determining the stationary stochastic process that has the largest steady-state mean. We prove that the procedure is valid as the indifference zone, and the true differences among the process means, goes to zero by establishing the weak convergence of the standardized sum of differences to a Brownian motion process with drift. Empirical results show excellent small-sample performance of the procedure.