Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations

Sequest is an automated sequential simulation-analysis procedure designed to provide improved point and confidence-interval (CI) estimators for a designated steady-state quantile by the use of batching and sectioning. The procedure incorporates techniques to do the following: (i) reduce the absolute bias of the sectioning-based point estimator caused by atypical simulation initialization or an inadequate sample size, (ii) adjust the batching-based CI half-length to compensate for correlation or skewness of the batch quantile estimators used in computing the CI half-length, and (iii) obtain a sample size sufficient to yield a CI satisfying user-specified requirements on the CI’s coverage probability and its absolute or relative precision. In a set of difficult test problems, Sequest compared favorably with its competitors, requiring smaller average sample sizes while delivering better CI conformance to the given coverage and precision requirements.