On Simulation Output Analysis for Generalized Semi-Markov Processes

        The usual model for the underlying process of a discrete-event stochastic system is the generalized semi-Markov process (GSMP). A GSMP is defined in terms of a general state space Markov chain that describes the process at successive state-transition times. We provide conditions on the clock-setting distributions and state-transition probabilities of a finite state GSMP under which this underlying chain is 0-irreducible and statisfies a drift criterion for stability due to Meyn and Tweedie. If the GSMP also has a single state in which exactly one event is scheduled to occur, then this state is hit inifinitely often with probability 1 and the time between successive hits has finite second moment. It follows that the standar regenerative method can be used to obtain strongly consistent point estimates and asymptotic confidence intervals for time-average limits of the process. We also show that, under our conditions, point estimates and confidence intervals for time-average limits can be obtained using methods based on standardized time series. In particular, the method of batch means (with the number of batches fixed) is applicable. Our results rest on a new functional central limit theorem for GSMP's together with results of Glynn and Iglehart. The standardized time series methods apply even when the GSMP does not have a single state or indeed any type of regenerative structure.

By: Peter J. Haas

Published in: RJ10042 in 1996

This Research Report is not available electronically. Please request a copy from the contact listed below. IBM employees should contact ITIRC for a copy.

Questions about this service can be mailed to reports@us.ibm.com .