USING PARALLEL REPLICATIONS FOR SEQUENTIAL ESTIMATION OF MULTIPLE STEADY STATE QUANTILES

Simulation output data analysis in performance evaluation studies of complex stochastic systems such as the Internet is typically limited to mean values, even though it provides very limited information about the analysed system’s per-formance. Quantile analysis is not as common, even though it can provide much deeper insights into the system of in-terest. A set of quantiles can be used to approximate a cumulative distribution function, providing full information about a given performance characteristic of the simulated system. In this paper, we will present two new methods for estimating steady state quantiles and distribution func-tions. The quantiles are estimated using simulation output data from concurrently executed independent replications. They are calculated sequentially and on-line to guarantee that their final statistical errors do not exceed a permitted threshold