TY - JOUR

T1 - Factor screening for simulation with multiple responses

T2 - Sequential bifurcation

AU - Shi, W.

AU - Kleijnen, J.P.C.

AU - Liu, Z.

PY - 2014/8/16

Y1 - 2014/8/16

N2 - The goal of factor screening is to find the really important inputs (factors) among the many inputs that may be changed in a realistic simulation experiment. A specific method is sequential bifurcation (SB), which is a sequential method that changes groups of inputs simultaneously. SB is most efficient and effective 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; and (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 multi-response 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. To obtain enough replicates (replications) for correctly classifying a group effect or an individual effect as being important or unimportant, MSB applies Wald’s sequential probability ratio test (SPRT). The initial number of replicates in this SPRT is also selected efficiently by MSB. Moreover, MSB includes a procedure to validate the three assumptions of MSB. The paper evaluates the performance of MSB through extensive Monte Carlo experiments that satisfy all MSB assumptions, and through a case study representing a logistic system in China; the results are very promising.

AB - The goal of factor screening is to find the really important inputs (factors) among the many inputs that may be changed in a realistic simulation experiment. A specific method is sequential bifurcation (SB), which is a sequential method that changes groups of inputs simultaneously. SB is most efficient and effective 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; and (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 multi-response 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. To obtain enough replicates (replications) for correctly classifying a group effect or an individual effect as being important or unimportant, MSB applies Wald’s sequential probability ratio test (SPRT). The initial number of replicates in this SPRT is also selected efficiently by MSB. Moreover, MSB includes a procedure to validate the three assumptions of MSB. The paper evaluates the performance of MSB through extensive Monte Carlo experiments that satisfy all MSB assumptions, and through a case study representing a logistic system in China; the results are very promising.

KW - simulation

KW - design of experiments

KW - statistical analysis

UR - http://www.sciencedirect.com/science/article/pii/S0377221714001362

U2 - 10.1016/j.ejor.2014.02.021

DO - 10.1016/j.ejor.2014.02.021

M3 - Article

VL - 237

SP - 136

EP - 147

JO - European Journal of Operational Research

JF - European Journal of Operational Research

SN - 0377-2217

IS - 1

ER -