Factor Screening For Simulation With Multiple Responses: Sequential Bifurcation

W. Shi, Jack P.C. Kleijnen, Zhixue Liu

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Abstract

Abstract: Factor screening searches for the really important inputs (factors) among the many inputs that are changed in a realistic simulation experiment. Sequential bifurcation (SB) is a sequential method that changes groups of inputs simultaneously. SB is the most efficient and effective method if the following assumptions are satisfied: (i) second-order polynomials are adequate approximations of the input/output functions implied by the simulation model; (ii) the signs of all first-order effects are known; (iii) if two inputs have no important first-order effects, then they have no important second-order effects either (heredity property). This paper examines SB for random simulation with multiple responses (outputs), called multiresponse SB (MSB). This MSB selects groups of inputs such that within a group all inputs have the same sign for a specific type of output, so no cancellation of first-order effects occurs. MSB also applies Wald’s sequential probability ratio test (SPRT) to obtain enough replicates for correctly classifying a group effect or an individual effect as important or unimportant. MSB enables efficient selection of the initial number of replicates in SPRT. The paper also proposes a procedure to validate the three assumptions of MSB. The performance of MSB is examined through extensive Monte Carlo experiments that satisfy all MSB assumptions, and through a case study representing a logistic system in China; the MSB performance is very promising.
Original languageDutch
Place of PublicationTilburg
PublisherInformation Management
Number of pages39
Volume2013-009
Publication statusPublished - 2013

Publication series

NameCentER Discussion Paper
Volume2013-009

Keywords

  • simulation
  • design of experiments
  • statistical analysis

Cite this

Shi, W., Kleijnen, J. P. C., & Liu, Z. (2013). Factor Screening For Simulation With Multiple Responses: Sequential Bifurcation. (CentER Discussion Paper; Vol. 2013-009). Tilburg: Information Management.