Parallel Sequential Estimation of Quantiles During Steady State Simulation
M. Eickhoff, K. Pawlikowski and D. McNickle
Department of Computer Science and Software Engineering
University of Canterbury
Abstract
Simulation results are often limited to mean values, even though this provides very limited infor-
mation about the analyzed systems' performance. Quantile analysis provides much deeper insights
into the performance of simulation system of interest. A set of quantiles can be used to approximate a
cumulative distribution function, providing full information about a given performance characteristic
of the simulated system. In this paper, we will present two methods for parallel sequential estimation
of steady state quantiles. The quantiles are estimated using simulation output data from concur-
rently executed independent replications. They are calculated sequentially and on-line, i.e. during
simulation, to ensure that the results are produced to a speci ed accuracy. The set of quantiles to
be estimated can be automatically determined using ecient estimation as a criterion.
