Factor Screening For Simulation With Multiple Responses

Sequential Bifurcation

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

Research output: Working paperDiscussion paperOther research output

273 Downloads (Pure)

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.
Shi, W. ; Kleijnen, Jack P.C. ; Liu, Zhixue. / Factor Screening For Simulation With Multiple Responses : Sequential Bifurcation. Tilburg : Information Management, 2013. (CentER Discussion Paper).
@techreport{02d31acfb6be4c0fbeb759fd58cdf483,
title = "Factor Screening For Simulation With Multiple Responses: Sequential Bifurcation",
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.",
keywords = "simulation, design of experiments, statistical analysis",
author = "W. Shi and Kleijnen, {Jack P.C.} and Zhixue Liu",
note = "Pagination: 39",
year = "2013",
language = "Dutch",
volume = "2013-009",
series = "CentER Discussion Paper",
publisher = "Information Management",
type = "WorkingPaper",
institution = "Information Management",

}

Shi, W, Kleijnen, JPC & Liu, Z 2013 'Factor Screening For Simulation With Multiple Responses: Sequential Bifurcation' CentER Discussion Paper, vol. 2013-009, Information Management, Tilburg.

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

Tilburg : Information Management, 2013. (CentER Discussion Paper; Vol. 2013-009).

Research output: Working paperDiscussion paperOther 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 -

Shi W, Kleijnen JPC, Liu Z. Factor Screening For Simulation With Multiple Responses: Sequential Bifurcation. Tilburg: Information Management. 2013. (CentER Discussion Paper).