Application of chaos theory to simulation output analysis

The problem of testing for a change in the parameter of a stochastic process is particularly important in simulation studies. In studies of the steady state characteristics of a simulation model, it is important to identify initialization bias and to evaluate efforts to control this problem. A simulation output have the characteristics of chaotic behavior because of sensitive dependence on initial conditions. For that reason, we will apply Lyapunov exponent for diagnosis of chaotic motion to simulation output analysis. This paper proposes two methods for diagnosis of steady state in simulation output. In order to evaluate the performance and effectiveness of these methods using chaos theory, M/M/I(.inf.) queueing model is used for testing point estimator, average bias.