Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations

Winfried Grassmann

2015

Abstract

In complex stochastic systems, Monte-Carlo simulation is often the only way to estimate equilibrium expectations. The question then arises what is better: a single run of length T, or n runs, each of length T/n. In this paper, it is argued that if there is a good state to start the simulation in, multiple runs may be advantageous. To illustrate this, we use numerical examples. These examples are obtained by using deterministic methods, that is, methods based on probability theory not using Monte-Carlo methods. The results of our numerical calculations forced us to make a sharp distinction between the time to reach equilibrium and the appropriate length of the warm-up period, and this distinguishes our study from earlier investigations.

Paper Citation

in Harvard Style

Grassmann W. (2015). Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations . In Proceedings of the 5th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - Volume 1: SIMULTECH, ISBN 978-989-758-120-5, pages 138-144. DOI: 10.5220/0005535501380144

in Bibtex Style

@conference{simultech15,
author={Winfried Grassmann},
title={Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations},
booktitle={Proceedings of the 5th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - Volume 1: SIMULTECH,},
year={2015},
pages={138-144},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005535501380144},
isbn={978-989-758-120-5},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 5th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - Volume 1: SIMULTECH,
TI - Using Multiple Runs in the Simulation of Stochastic Systems for Estimating Equilibrium Expectations
SN - 978-989-758-120-5
AU - Grassmann W.
PY - 2015
SP - 138
EP - 144
DO - 10.5220/0005535501380144