The KIPS Transactions:PartD (정보처리학회논문지D)

Korea Information Processing Society (한국정보처리학회)
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Sequential Percentile Estimation for Sequential Steady-State Simulation

순차적 시뮬레이션을 위한 순차적인 Percentile 추정에 관한 연구

  • Published : 2003.10.01
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Abstract

Percentiles are convenient measures of the entire range of values of simulation outputs. However, unlike means and standard deviations, the observations have to be stored since calculation of percentiles requires several passes through the data. Thus, percentile (PE) requires a large amount of computer storage and computation time. The best possible computation time to sort n observations is (O($nlog_{2}n$)), and memory proportional to n is required to store sorted values in order to find a given order statistic. Several approaches for extimating percentiles in RS(regenerative simulation) and non-RS, which can avoid difficulties of PE, have been proposed in [11, 12, 21]. In this paper, we implemented these three approaches known as : leanear PE, batching PE, spectral $P^2$ PE in the context of sequential steady-state simulation. Numerical results of coverage analysis of these PE approachs are present.

백분위수는 시뮬레이션 결과의 전체적인 성향을 파악하는데 아주 유용한 측정 기법 중의 하나이다. 그러나, 시뮬레이션으로 수집된 데이터들에 대한 평균이나 표준편차와는 달리 백분위수를 추정하기 위해서는 모든 관측된 데이터들을 저장해야 만 한다, 왜냐하면 백분위수의 추정을 위해서는 관측된 모든 데이를 분류하여 오른차순으로 정렬하는 등 여러 단계의 처리과정이 필요하기 때문이다. 따라서, 백분위수 추정을 위해서는 관측된 모든 데이터를 저장하기 위한 대용량의 저장장치와 정렬을 위한 계산시간 (O($nlog_{2}n$))이 요구된다. 이러한 문제점을 해결하기 위한 여러 백분위수 추정 기법들이 제안되었으나 고정된 샘플 크기의 시뮬레이선(fixed sample size simulation) 을 수행할 경우에만 적용 가능하다. [11, 12, 21]. 본 논문에서는 3가지 백분위수 추정 기법(linear PE, batching PE, spectral $P^2$ PE) 을 순차적인 안정상태 시뮬레이션(sequential steady-state simulation) 에 적용하여 연구하였다. 또한, 3가지의 백분위수 추정 기법들에 대해 coverage 분석을 수행한 결과를 제시하였다.

Keywords

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