Output Analysis for Steady-State Simulations

• Consider a single run of a simulation model whose purpose is to estimate a steady state, or long run, characteristics of the system.

• Assume $Y_1, Y_2, ...$ are observations, which in general are samples of an autocorrelated time series.

• The steady-state measure of performance $\theta$ to be estimated is defined by
  
  $$\theta = lim_{n \rightarrow \infty} \frac{1}{n} \sum_{i=1}^n Y_i$$
  
  

• This result is independent of initial conditions, random number streams, ...