SYSC4005 5001 CheatSheet For FinalExam W2021

Cheat Sheet: Statistical Models in Simulation
SYSC4005/5001 – Discrete Simulation/Modeling

Lecturer: Ahmed Raoof Winter 2021
NOTE: For the probability distributions, the PDF (or the PMF), CDF, mean, and the variance
equations are listed. You should know how and when to use these equations.
1. Bernoulli Distribution (Discrete):
𝑝, 𝑥𝑗 = 1, where 𝑗 = 1,2,3, . . , 𝑛
➢ PMF = 𝑝(𝑥𝑗 ) = {1 − 𝑝 = 𝑞, 𝑥𝑗 = 0, where 𝑗 = 1,2,3, . . , 𝑛
0, otherwise
0, 𝑗>0
➢ CDF = 𝐹(𝑥𝑗 ) = {𝑞, 0 ≤ 𝑗 < 1
1 𝑗≥1
➢ The mean 𝐸 (𝑋 ) = 𝑝
➢ The variance 𝑉 (𝑋 ) = 𝑝. 𝑞
2. Binomial Distribution (Discrete):

𝑛 𝑥 𝑛−𝑥
( ) 𝑝 𝑞 , 𝑥 = 0,1,2, … , 𝑛
➢ PMF = 𝑝(𝑥) = { 𝑥
0 otherwise
𝑛
∑𝑥 ( ) 𝑝𝑡 𝑞𝑛−𝑡 , 𝑡 ≥ 0
➢ CDF = 𝐹 (𝑥) = { 𝑡=0 𝑡
0 𝑡<0
➢ The mean 𝐸 (𝑋 ) = 𝑛. 𝑝
➢ The variance 𝑉 (𝑋 ) = 𝑛. 𝑝. 𝑞
3. Geometric Distribution (Discrete):

𝑥−1
➢ PMF = 𝑝(𝑥) = {𝑝. 𝑞 , 𝑥 = 1,2, … , 𝑛
0 otherwise
𝑥
1 − 𝑞 𝑥 ≥ 0
➢ CDF = 𝐹 (𝑥) = {
0 𝑥<0
1
➢ The mean 𝐸 (𝑋 ) =
𝑝
𝑞
➢ The variance 𝑉 (𝑋 ) =
𝑝2
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4. Negative Binomial Distribution (Discrete):
𝑥 − 1 𝑘 𝑥−𝑘
( ) 𝑝 𝑞 , 𝑥 = 𝑘, 𝑘 + 1, 𝑘 + 2, …
➢ PMF = 𝑝(𝑥) = { 𝑘 − 1
0 otherwise
Where k is the number of successes.
➢ CDF = 𝐹 (𝑥) = ∑𝑥𝑡=0 𝑝(𝑡)
𝑘
𝑝
𝑘𝑞
𝑝2
5. Poisson Distribution (Discrete):
𝑒 −𝛼 𝛼𝑥
➢ PMF = 𝑝(𝑥) = , 𝑥 = 0,1,2, …
𝑥!
𝑒 −𝛼 𝛼𝑡
➢ CDF = 𝐹 (𝑥) = ∑𝑥𝑡=0
𝑡!
➢ The mean 𝐸 (𝑋 ) = The variance 𝑉 (𝑋 ) = 𝛼
6. Uniform Distribution (Continuous):

1
, 𝑎≤𝑥≤𝑏
➢ PDF = 𝑝(𝑥) = {𝑏−𝑎
0 otherwise
0, 𝑥<𝑎
𝑥−𝑎
➢ CDF = 𝐹 (𝑥) = {𝑏−𝑎 , 𝑎 ≤ 𝑥 < 𝑏
1, 𝑥≥𝑏
𝑎+𝑏
2
(𝑏−𝑎)2
12
7. Exponential Distribution (Continuous):

−𝜆𝑥
➢ PDF = 𝑝(𝑥) = {𝜆𝑒 𝑥≥0 ,
0 otherwise
0, 𝑥<0
➢ CDF = 𝐹 (𝑥) = { −𝜆𝑥
1−𝑒 , 𝑥 ≥0
1
𝜆
1
𝜆2
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8. Gamma Distribution (Continuous):

∞
➢ The Gamma function is Γ(𝛽) = ∫0 𝑥 𝛽−1 𝑒 −𝑥 . 𝑑𝑥 .
𝛽𝜃
(𝛽𝜃𝑥 )𝛽−1 𝑒 −𝛽𝜃𝑥 , 𝑥>0
➢ PDF = 𝑝(𝑥) = {Γ(𝛽)
0 otherwise
0, 𝑥≤0
➢ CDF = 𝐹 (𝑥) = { ∞ 𝛽𝜃
1− ∫𝑥 Γ(𝛽) (𝛽𝜃𝑡 )𝛽−1 𝑒 −𝛽𝜃𝑡 . 𝑑𝑡 , 𝑥>0
1
𝜃
1
𝛽𝜃2
9. Erlang Distribution (Continuous):
➢ Very similar to Gama distribution. Here assume β is as integer = k .

𝑘𝜃
(𝑘𝜃𝑥)𝑘−1 𝑒 −𝑘𝜃𝑥 , 𝑥>0
➢ PDF = 𝑝(𝑥) = {Γ(𝑘)
0 otherwise
0, 𝑥≤0
➢ CDF = 𝐹 (𝑥) = { 𝑒 −𝑘𝜃𝑥 (𝑘𝜃𝑥)𝑡
1 − ∑𝑘−1
𝑡=0 , 𝑥>0
𝑡!
1
𝜃
1
𝑘𝜃 2
10. Normal Distribution (Continuous):
−1 𝑥−𝜇 2
1 ( )
➢ PDF = 𝑝(𝑥) = 𝑒 2 𝜎 , 𝑤ℎ𝑒𝑟𝑒 − ∞ < 𝑥 < ∞, −∞ < 𝜇 <
𝜎√2𝜋
∞, 𝑎𝑛𝑑 𝜎 2 > 0
−1 𝑡−𝜇 2
𝑥 1 ( )
➢ CDF = 𝐹 (𝑥) = ∫−∞ 𝜎 2𝜋 𝑒 2 𝜎 . 𝑑𝑡
√
➢ The mean 𝐸 (𝑋 ) = 𝜇
➢ The variance 𝑉 (𝑋 ) = 𝜎 2
Another way to find F(x):
𝑥−𝜇
𝐹 (𝑥 ) = Φ ( ) and use table A.3
𝜎
𝑥−𝜇
Pay attention to where is : on the positive or the negative side: Φ(−𝑥) = 1 − Φ(𝑥)
𝜎
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11. Weibull Distribution (Continuous):
𝑥−𝑣 𝛽
𝛽 𝑥−𝑣 𝛽−1 −( )
➢ PDF = 𝑝(𝑥) = {𝛼 ( 𝛼
) 𝑒 𝛼 , 𝑥≥𝑣
0 otherwise
Where −∞ < 𝑣 < ∞, 𝛽 > 0, and 𝛼 > 0
0, 𝑥<𝑣
➢ CDF = 𝐹 (𝑥) = { 𝑥−𝑣 𝛽
)
1 − 𝑒 −( 𝛼 , 𝑥 ≥ 𝑣
1
➢ The mean 𝐸 (𝑋 ) = 𝑣 + 𝛼 ( ) !
𝛽
2 1 2
➢ The variance 𝑉 (𝑋 ) = 𝛼 2 [( ) ! − [( ) !] ]
𝛽 𝑏
12. Triangular Distribution (Continuous):

2(𝑥−𝑎)
(𝑏−𝑎)(𝑐−𝑎)
, 𝑎≤𝑥≤𝑏
➢ PDF = 𝑝(𝑥) = 2(𝑐−𝑥)
, 𝑏<𝑥≤𝑐
(𝑐−𝑏)(𝑐−𝑎)
{ 0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Where 𝑎 ≤ 𝑏 ≤ 𝑐
0, 𝑥≤𝑎
(𝑥−𝑎)2
,
➢ CDF = 𝐹 (𝑥) =
(𝑏−𝑎)(𝑐−𝑎) 𝑎<𝑥≤𝑏
(𝑐−𝑥)2 𝑏<𝑥≤𝑐
1 − (𝑐−𝑏)(𝑐−𝑎) ,
{ 1 𝑥>𝑐
𝑎+𝑏+𝑐
3
➢ The mode (used more often here) is 𝑀𝑜𝑑𝑒 = 𝑏 = 3𝐸 (𝑋 ) − (𝑎 + 𝑐)
(𝑎+𝑏+𝑐)2 𝑎𝑏+𝑎𝑐+𝑏𝑐
➢ The variance 𝑉 (𝑋 ) = −
18 6
13. Lognormal Distribution (Continuous):
−1 ln(𝑥−𝜇) 2
1 ( )
➢ PDF = 𝑝(𝑥) = 𝑒 2 𝜎 , where 𝑥 ≥ ∞ and 𝜎 2 > 0
𝜎𝑥√2𝜋
(ln 𝑥)−𝜇
➢ CDF = 𝐹 (𝑥) = Φ ( ), and use table A.3
𝜎
𝜎2
(𝜇+ )
➢ The mean 𝐸 (𝑋 ) = 𝑒 2
𝜎2
(2𝜇+ ) 2
➢ The variance 𝑉 (𝑋 ) = 𝑒 2 (𝑒 𝜎 − 1)
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14. Beta Distribution (Continuous):
𝑥 𝛽1 −1 (1−𝑥)𝛽2 −1
➢ PDF = 𝑝(𝑥) = , for 0 < 𝑥 < 1
𝐵(𝛽1 ,𝛽2 )
Γ(𝛽1 )Γ(𝛽2 )
Where 𝐵 (𝛽1 , 𝛽2 ) =
Γ(𝛽1 +𝛽2 )
➢ CDF is not defined in a closed form.
➢ For a specific range (a,b):-
(𝑏−𝑎)𝛽1
❖ The mean 𝐸 (𝑋 ) = 𝑎 +
𝛽1 +𝛽2
𝛽1 𝛽2 (𝑏−𝑎)2
❖ The variance 𝑉 (𝑋 ) = (𝛽 2
1 +𝛽2 ) (𝛽1 +𝛽2 +1)
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Cheat Sheet: Quiz #2
NOTE: For the probability distributions, the PDF (or the PMF), CDF, mean, and the variance
equations are listed. You should know how and when to use these equations.
1. (Ch. 11) Measures of Performance:

1
➢ 𝜃̂ = ∑𝑛𝑖=1 𝑌𝑖 for discrete-time data
𝑛
1 𝑇𝐸
➢ 𝜑̂ = ∫0 𝑌(𝑡 ). 𝑑𝑡 for continuous-time data
𝑇𝐸
➢ For simulations with replications
1
𝑌̅𝑖 = ∑𝑛𝑘=1
𝑖
𝑌𝑖𝑘 for the ith replications, then
𝑛𝑖
1
𝑌̅ = ∑𝑅𝑖=1 𝑌̅𝑖 for the overall sample mean (pointer estimator)
𝑅
➢ Overall Sample variance

𝑅
1
𝑆2 = ∑(𝑌̅𝑖 − 𝑌̅)2
𝑅−1
𝑖=1
➢ Confidence Interval (CI) estimation (α = 1 – CI percentage/100):
𝑆
𝑌̅ ± (𝑡𝑎,𝑛−1 × )
2 √𝑛
➢ Prediction Interval (PI)
1
𝑌̅ ± (𝑡𝛼,𝑛−1 × 𝑆 × √1 + )
2 𝑛
2. (CH. 11) Output Analysis for Terminating Simulations:
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➢ Within Replications:
❖ The average
𝑛𝑖
1 𝑇𝐸𝑖 1
𝑌̅𝑖∙ = ∫ 𝑌(𝑡 ). 𝑑𝑡 (Continuous-time), 𝑌̅𝑖∙ = ∑ 𝑌𝑖𝑗 (Discrete-time)
𝑇𝐸𝑖 0 𝑛𝑖
𝑗=1
❖ The sample variance

1 𝑇𝐸𝑖
𝑆𝑖2 = ∫ (𝑌𝑖 (𝑡 ) − 𝑌̅𝑖∙ )2 . 𝑑𝑡 (Continuous-time), 𝑆𝑖2
𝑇𝐸𝑖 0
𝑛𝑖
1 2
= ∑(𝑌𝑖𝑗 − 𝑌̅𝑖∙ ) (Discrete-time)
𝑛𝑖 − 1
𝑗=1
❖ The CI half interval (Hi) and the standard error

𝑆𝑖 𝑆𝑖 𝑆𝑖 𝑆𝑖
𝐻𝑖 = 𝑡𝛼,𝑛 −1 × (or 𝑧𝛼 × ) , standard error = (or )
2 𝑖 √𝑛𝑖 2 √𝑇𝐸𝑖 √𝑛𝑖 √𝑇𝐸𝑖
➢ Across Replications:
❖ The average
𝑅
1
𝑌̅∙∙ = 𝑌̅ = ∑ 𝑌̅𝑖∙
𝑅
𝑖=1
❖ The sample variance

𝑅
1
𝑆2 = ∑(𝑌̅𝑖∙ − 𝑌̅)2
𝑅−1
𝑖=1
❖ The CI half interval (H) and the standard error

𝑆 𝑆
𝐻 = 𝑡𝛼,𝑅−1 × , standard error =
2 √𝑅 √𝑅
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➢ CI with Specified Precision (for both terminating and steady-state)
❖ You should have initial sample of R0 replications, the initial sample

variance (S02), and the required precision (ε)
❖ The estimated number of required replications (R) to achieve the
desired precision
2
𝑆0 × 𝑧𝛼
2
𝑅≥( )
𝜖
❖ You do (R - R0) replications and see if the half-width of CI is within

the required precision. If not, try this
2
𝑆0 × 𝑡𝛼,𝑅−1
2
𝑅≥( )
𝜖
➢ CI for Probabilities
𝑝̂ (1 − 𝑝̂ )
𝑝̂ ± (𝑧𝛼 × √ )
2 𝑅−1
➢ CI for Quantiles
The estimate of θ is the (R x p)th value of the ordered data. To find the CI, use the
following equations then the upper and lower limits (θu and θl) will use the same
approach of the estimator θ
𝒑(𝟏 − 𝒑)
𝒑𝒍 = 𝒑 − (𝒛𝜶 × √ )
𝟐 𝑹−𝟏
𝒑(𝟏 − 𝒑)
𝒑𝒖 = 𝒑 + (𝒛𝜶 × √ )
𝟐 𝑹−𝟏
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3. (CH. 11) Output Analysis for Steady-State Simulations:

𝑛
1
𝜃 = lim ( ∑ 𝑌𝑖 ) , for discrete-time observations (with probability 1)
𝑛→∞ 𝑛
𝑖=1
1 𝑇𝐸
𝜑 = lim ( ∫ 𝑌(𝑡 ). 𝑑𝑡 ) , for 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠-time observations(with probability 1)
𝑇𝐸 →∞ 𝑇𝐸 0
➢ Ensemble Averages are the across-replications same-observation

averages
𝑅
1
𝑌̅∙𝑗 = ∑ 𝑌𝑟𝑗
𝑅
𝑟−1
➢ Error Estimation
➢ {Y1, …, Yn} are statistically independent with mean θ and variance σ2

𝑛 𝑛
1 1 ̂ 𝑆2 𝑆
̂ ̅ ̂2 2
𝜃 = 𝑌 = ∑ 𝑌𝑖 , 𝜎 = 𝑆 = ∑(𝑌𝑖 − 𝑌) , 𝑉 (𝑌) = , 𝑆𝐸 (𝑌̅) =
̅ 2 ̅ ,
𝑛 𝑛−1 𝑛 √𝑛
𝑖=1 𝑖=1
2 2
𝑆 𝜎
𝐸(𝜃̂) = 𝐸 (𝑌̅) = 𝜃, 𝐸(𝜎̂2 ) = 𝐸 (𝑆 2 ) = 𝜎 2 , 𝐸(𝑉̂
(𝑌̅)) = 𝐸 ( ) = = 𝑉 (𝑌̅),
𝑛 𝑛
𝑆
𝐶𝐼 = 𝑌̅ ± (𝑡𝛼,𝑛−1 × )
2 √𝑛
• Othrwise, for a covariance stationary time series, {Y1, …, Yn}:
Lag-k autocovariance is: 𝛾𝑘 = 𝑐𝑜𝑣(𝑌1 , 𝑌1+𝑘 ) = 𝑐𝑜𝑣(𝑌𝑖 , 𝑌𝑖+𝑘 ), 𝑎𝑛𝑑 𝛾0 = 𝜎 2
𝛾𝑘
Lag-k autocorrelation is: 𝜌𝑘 = , − 1 ≤ 𝜌𝑘 ≤ 1 and 𝑘 = 1,2,3, …
𝜎2
• ̅ is:
The variance of 𝒀
𝑛 𝑛 𝑛−1
1 𝜎2 𝑘
̅
𝑉 (𝑌) = 2 ∑ ∑ 𝑐𝑜𝑣(𝑌𝑖 , 𝑌𝑗 ) = [1 + 2 ∑ ((1 − ) 𝜌𝑘 )]
𝑛 𝑛 𝑛
𝑖=1 𝑗=1 𝑘=1
• The expected value of the variance estimator is:
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𝑛
𝑆2 −1
( ̅ )
𝐸 ( ) = 𝐵. 𝑉 𝑌 , 𝑤ℎ𝑒𝑟𝑒 𝐵 = 𝑐
𝑛 𝑛−1
➢ For Replication method (reducing the autocorrelation effects):
Each replication is regarded as a single sample for estimating θ. For replication r:

𝑛
1
𝑌̅𝑟∙ (𝑛, 𝑑 ) = ∑ 𝑌𝑟𝑗 , where 𝑑 is the number of deleted observations
𝑛−𝑑
𝑗=𝑑+1
The overall point estimator:

𝑅
1
𝑌̅∙∙ (𝑛, 𝑑 ) = ∑ 𝑌̅𝑟∙ (𝑛, 𝑑 ) and 𝐸 [𝑌̅.. (𝑛, 𝑑 )] = 𝜃𝑛,𝑑
𝑅
𝑟=1
To estimate standard error of 𝑌̅∙∙ , the sample variance and standard error:
𝑅
1 𝑆
𝑆2 = ∑(𝑌̅𝑟∙2 − 𝑅𝑌̅∙∙ ) and 𝑆𝐸 (𝑌̅∙∙ ) =
𝑅−1 √𝑅
𝑟=1
4. (Ch. 12) Estimation of Relative Performance:
➢ A two-sided 100(1-α)% CI for 𝜃1 − 𝜃2 always takes the form of:

(𝑌̅∙1 − 𝑌̅∙2 ) ± [𝑡𝛼,𝑣 × 𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 )]
2
➢ For Independent Sampling (IND)
• The variance of the sample mean, 𝑌̅∙𝑖 , is:
𝑉 (𝑌∙𝑖 ) 𝜎𝑖2
𝑉 (𝑌̅∙𝑖 ) = = , 𝑖 = 1,2, …
𝑅𝑖 𝑅𝑖
• Since 𝑌̅∙1 and 𝑌̅∙2 are statistically independent:
𝜎12 𝜎22
𝑉 (𝑌̅∙1 − 𝑌̅∙2 ) = 𝑉 (𝑌̅∙1 ) + 𝑉 (𝑌̅∙2 ) = +
𝑅1 𝑅2
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5. (Ch. 12) For IND with Equal Variances
➢ The point estimate of the mean performance difference is:
𝑌̅∙1 − 𝑌̅∙2
➢ The sample variance for system i is:

𝑅𝑖 𝑅𝑖
1 1 2
𝑆𝑖2 = ∑(𝑌̅𝑟𝑖 − 𝑌̅∙𝑖 )2 = ∑ 𝑌̅𝑟𝑖 − 𝑅𝑖 𝑌̅∙𝑖2
𝑅𝑖 − 1 𝑅𝑖 − 1
𝑟=1 𝑟=1
➢ The pooled estimate of the variance is:
(𝑅1 − 1)𝑆12 + (𝑅2 − 1)𝑆22

𝑆𝑝2 =
𝑅1 + 𝑅2 − 2
➢ Standard error:
1 1
𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 ) = 𝑆𝑝 √ +
𝑅1 𝑅2
➢ CI is given by:
(𝑌̅∙1 − 𝑌̅∙2 ) ± [𝑡𝛼,𝑣 × 𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 )] , where 𝑣 = 𝑅1 + 𝑅2 − 2

2
6. (Ch. 12) For IND with Unequal Variances
➢ Standard error:
𝑆12 𝑆22
𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 ) = √ +
𝑅1 𝑅2
➢ CI is given by:
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(𝑌̅∙1 − 𝑌̅∙2 ) ± [𝑡𝛼,𝑣 × 𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 )] , where 𝑣

2
2
𝑆2 𝑆2
( 1 + 2)
𝑅1 𝑅2
= 2 2 rounded to an integer
𝑆2 𝑆2
( 1) ( 2)
𝑅1 𝑅2
+
𝑅1 − 1 𝑅2 − 1
7. (Ch. 12) For Correlated Sampling (CRN)
➢ The estimator based on CRN is more precise, leading to a shorter

confidence interval for the difference:
𝐷𝑟 = 𝑌̅𝑟1 − 𝑌̅𝑟2
➢ Sample Average:
𝑅
1
̅ = ∑ 𝐷𝑟
𝐷
𝑅
𝑟=1
➢ Sample Variance of The Differences:

𝑅 𝑅
1 1
𝑆𝐷2 = ̅ )2 =
∑(𝐷𝑟 − 𝐷 ̅2)
(∑(𝐷𝑟2 ) − 𝑅𝐷
𝑅−1 𝑅−1
𝑟=1 𝑟=1
➢ Standard Error:
𝑆𝐷
̅ ) = 𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 ) =
𝑆𝐸 (𝐷
√𝑅
➢ Degree of freedom: 𝑣 =𝑅−1
8. (Ch. 6) Queueing Models
➢ General Rules
∞
1 1 𝑇
̂𝐿 = ∑ 𝑖. 𝑇𝑖 = ∫ 𝐿(𝑡 ). 𝑑𝑡
𝑇 𝑇 0
𝑖=0
Page|7
∞
1 1 𝑇
̂𝐿𝑄 = ∑ 𝑖. 𝑇𝑖𝑄 = ∫ 𝐿𝑄 (𝑡 ). 𝑑𝑡
𝑇 𝑇 0
𝑖=0
𝑁
1
̂ = ∑ 𝑊𝑖
𝑤
𝑁
𝑖=0
𝑁
1
𝑤
̂𝑄 = ∑ 𝑊𝑖 𝑄
𝑁
𝑖=0
➢ Conservation Equation (Little’s Law)
𝑳̂ = 𝝀̂𝒘
̂
➢ Server Utilization
𝜆 𝐿𝑠 𝜆
𝐿̂𝑠 = 𝜌 𝑎𝑛𝑑 𝜌 = 𝜆𝐸 (𝑆) = 𝑓𝑜𝑟 𝑠𝑖𝑛𝑔𝑙𝑒 𝑠𝑒𝑟𝑣𝑒𝑟𝑠, 𝑜𝑟 𝜌 = = 𝑓𝑜𝑟 𝑚𝑢𝑙𝑡𝑖𝑠𝑒𝑟𝑣𝑒𝑟
𝜇 𝑐 𝑐𝜇
9. (Ch. 12) Steady-State Behavior of Infinite-Population Markovian Models
➢ M/G/1 Queues
Page|8
➢ M/M/1 Queues
➢ M/M/c/∞/∞ queue
Page|9
➢ Finite-calling population model with K customers (M/M/c/K/K)
P a g e | 10
Table A.3: Cumulative Normal Distribution
P a g e | 11
Table A.6: Percentage Points of The Chi-Square Distribution with v Degrees of Freedom
P a g e | 12
Table A.8: Kolmogorov--Smirnov Critical Values
P a g e | 13
Table A.5: Percentage Points of The Student’s t Distribution with v Degrees of

Freedom
P a g e | 14
Appendix
Table A.10 Operating Characteristic Curves for The Two-Sided t Test for Different Values of
Sample Size n
1.0
n2
0.8
Probability of accepting H0
0.6 3
4
0.4
5
7
30 40
15 20
10
50 75
100
0.2
0 1 2 3
d
(a) a 0.05
1.00
0.90 n3
0.80
0.70 n
4
n
0.60
5
0.50
n
n
n
0.40
7
n4 n5
10
20
n
n 100
n 75
0.30
0
15
n
0.20
30
0
0.10
0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2
d
(b) a 0.01
Source: C. L. Ferris, F. E. Grubbs, and C. L. Weaver, “Operating Characteristics for the Common
Statistical Tests of Significance,” Annals of Mathematical Statistics, June 1946. Reproduced with
permission of The Institute of Mathematical Statistics.
549
Appendix
Table A.11 Operating Characteristic Curves for the One-Sided t Test for Different Values of
Sample Size n
1.00
0.90
0.80
0.70
0.60
0.50
n 100
n
n 475
0.40
n
n 4
0.30
n
n 20
n 5
0 n 50
4
n
n 30

n
5
0.20
1
10
7
0.10
0
0.8 0.4 0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2
d
(a) a 0.05
1.00
0.90
0.80
0.70 n
3
0.60
0.50
n 75
n 100
n
4
n
0.40
n
n
n3 n

n 20
n
n 50
5
10
0.30
7
0
15
0.20
40
0.10
0
0.8 0.4 0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2
d
(b) a 0.01
Source: A. H. Bowker and G. J. Lieberman, Engineering Statistics, 2d ed., © 1972, p. 203.

Reprinted by permission of Prentice Hall, Upper Saddle River, NJ.
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Cheat Sheet: Statistical Models in Simulation

SYSC4005/5001 – Discrete Simulation/Modeling

1. Bernoulli Distribution (Discrete):

2. Binomial Distribution (Discrete):

3. Geometric Distribution (Discrete):

4. Negative Binomial Distribution (Discrete):

5. Poisson Distribution (Discrete):

6. Uniform Distribution (Continuous):

7. Exponential Distribution (Continuous):

8. Gamma Distribution (Continuous):

9. Erlang Distribution (Continuous):

➢ Very similar to Gama distribution. Here assume β is as integer = k .

10. Normal Distribution (Continuous):

Another way to find F(x):

11. Weibull Distribution (Continuous):

12. Triangular Distribution (Continuous):

13. Lognormal Distribution (Continuous):

14. Beta Distribution (Continuous):

1. (Ch. 11) Measures of Performance:

➢ Overall Sample variance

➢ Prediction Interval (PI)

2. (CH. 11) Output Analysis for Terminating Simulations:

❖ The sample variance

❖ The CI half interval (Hi) and the standard error

❖ The sample variance

❖ The CI half interval (H) and the standard error

➢ CI with Specified Precision (for both terminating and steady-state)

❖ You should have initial sample of R0 replications, the initial sample

❖ You do (R - R0) replications and see if the half-width of CI is within

3. (CH. 11) Output Analysis for Steady-State Simulations:

➢ Ensemble Averages are the across-replications same-observation

➢ {Y1, …, Yn} are statistically independent with mean θ and variance σ2

• The expected value of the variance estimator is:

➢ For Replication method (reducing the autocorrelation effects):

Each replication is regarded as a single sample for estimating θ. For replication r:

The overall point estimator:

4. (Ch. 12) Estimation of Relative Performance:

➢ A two-sided 100(1-α)% CI for 𝜃1 − 𝜃2 always takes the form of:

• The variance of the sample mean, 𝑌̅∙𝑖 , is:

• Since 𝑌̅∙1 and 𝑌̅∙2 are statistically independent:

5. (Ch. 12) For IND with Equal Variances

➢ The point estimate of the mean performance difference is:

➢ The sample variance for system i is:

➢ The pooled estimate of the variance is:

(𝑅1 − 1)𝑆12 + (𝑅2 − 1)𝑆22

(𝑌̅∙1 − 𝑌̅∙2 ) ± [𝑡𝛼,𝑣 × 𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 )] , where 𝑣 = 𝑅1 + 𝑅2 − 2

6. (Ch. 12) For IND with Unequal Variances

(𝑌̅∙1 − 𝑌̅∙2 ) ± [𝑡𝛼,𝑣 × 𝑆𝐸 (𝑌̅∙1 − 𝑌̅∙2 )] , where 𝑣

7. (Ch. 12) For Correlated Sampling (CRN)

➢ The estimator based on CRN is more precise, leading to a shorter

➢ Sample Variance of The Differences:

➢ Degree of freedom: 𝑣 =𝑅−1

8. (Ch. 6) Queueing Models

➢ Conservation Equation (Little’s Law)

9. (Ch. 12) Steady-State Behavior of Infinite-Population Markovian Models

➢ Finite-calling population model with K customers (M/M/c/K/K)

Table A.3: Cumulative Normal Distribution

Table A.8: Kolmogorov--Smirnov Critical Values

Table A.5: Percentage Points of The Student’s t Distribution with v Degrees of

Source: A. H. Bowker and G. J. Lieberman, Engineering Statistics, 2d ed., © 1972, p. 203.

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