1. ¹SAS Institute, Cary, NC, USA
2. ²University of Maine, Orono, ME, USA
3. ³North Carolina State University, Raleigh, NC, USA

Correspondence: JR Wilson, Edward P Fitts Department of Industrial and Systems Engineering, North Carolina State University, Campus Box 7906, Raleigh, NC 27695-7906, USA. E-mail: jwilson@ncsu.edu

Received 2 February 2008; Accepted 1 May 2008.

Abstract

We discuss SBatch, a simplified procedure for steady-state simulation analysis that is based on spaced batch means, incorporating many advantages of its predecessors ASAP3 and WASSP while avoiding many of their disadvantages. SBatch is a sequential procedure designed to produce a confidence-interval (CI) estimator for the steady-state mean response that satisfies user-specified precision and coverage-probability requirements. First SBatch determines a batch size and an interbatch spacer size such that beyond the initial spacer, the spaced batch means approximately form a stationary first-order autoregressive process whose lag-one correlation does not significantly exceed 0.8. Next SBatch delivers a correlation-adjusted CI based on the sample variance and lag-one correlation of the spaced batch means as well as the grand mean of all the individual observations beyond the initial spacer. In an experimental evaluation on a broad range of test problems, SBatch compared favourably with ASAP3 and WASSP.