Automated Estimation of Extreme Steady-State Quantiles via the Maximum Transformation

AlexopoulosChristos,GoldsmanDavid,C MokashiAnup,R WilsonJames

Automated Estimation of Extreme Steady-State Quantiles via the Maximum Transformation

2017

AlexopoulosChristos
GoldsmanDavid
C MokashiAnup
R WilsonJames

We present Sequem, a sequential procedure that delivers point and confidence-interval (CI) estimators for extreme steady-state quantiles of a simulation-generated process. Because it is specified c...

Keywords:

Quantile
Steady state
Mathematical optimization
Computer science
Estimator
steady state simulation

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