### Abstract

Original language | Dutch |
---|---|

Place of Publication | Tilburg |

Publisher | Information Management |

Number of pages | 39 |

Volume | 2013-009 |

Publication status | Published - 2013 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2013-009 |

### Keywords

- simulation
- design of experiments
- statistical analysis

### Cite this

*Factor Screening For Simulation With Multiple Responses: Sequential Bifurcation*. (CentER Discussion Paper; Vol. 2013-009). Tilburg: Information Management.

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**Factor Screening For Simulation With Multiple Responses : Sequential Bifurcation.** / Shi, W.; Kleijnen, Jack P.C.; Liu, Zhixue.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Factor Screening For Simulation With Multiple Responses

T2 - Sequential Bifurcation

AU - Shi, W.

AU - Kleijnen, Jack P.C.

AU - Liu, Zhixue

N1 - Pagination: 39

PY - 2013

Y1 - 2013

N2 - 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.

AB - 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.

KW - simulation

KW - design of experiments

KW - statistical analysis

M3 - Discussion paper

VL - 2013-009

T3 - CentER Discussion Paper

BT - Factor Screening For Simulation With Multiple Responses

PB - Information Management

CY - Tilburg

ER -