Validating the Assumptions of Sequential Bifurcation in Factor Screening

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Abstract

Sequential bifurcation (SB) is a very efficient and effective method for identifying the important factors (inputs) of simulation models with very many factors, provided the SB assumptions are valid. A variant of SB called multiresponse SB (MSB) can be applied to simulation models with multiple types of responses (outputs). The specific SB and MSB assumptions are: (i) a second-order
polynomial per output is an adequate approximation (valid metamodel) of the implicit input/output function of the underlying simulation model; (ii) the directions (signs) of the first-order effects are known (so the first-order polynomial approximation per output is monotonic); (iii) heredity applies; i.e., if an input has no important first-order effect, then this input has no important second-order effects. To validate these three assumptions, we develop new methods. We compare these methods through Monte Carlo experiments and a case study.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages32
Volume2015-034
Publication statusPublished - 17 Jun 2015

Publication series

NameCentER Discussion Paper
Volume2015-034

Fingerprint

Screening
Bifurcation
Factors
Simulation model
Order effects
Approximation
Metamodel
Monte Carlo experiment
Polynomials

Keywords

  • simulation
  • sensitivity analysis
  • Design of experiments
  • statistical analysis

Cite this

Shi, W., & Kleijnen, J. P. C. (2015). Validating the Assumptions of Sequential Bifurcation in Factor Screening. (CentER Discussion Paper; Vol. 2015-034). Tilburg: CentER, Center for Economic Research.
Shi, W. ; Kleijnen, J.P.C. / Validating the Assumptions of Sequential Bifurcation in Factor Screening. Tilburg : CentER, Center for Economic Research, 2015. (CentER Discussion Paper).
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Shi, W & Kleijnen, JPC 2015 'Validating the Assumptions of Sequential Bifurcation in Factor Screening' CentER Discussion Paper, vol. 2015-034, CentER, Center for Economic Research, Tilburg.

Validating the Assumptions of Sequential Bifurcation in Factor Screening. / Shi, W.; Kleijnen, J.P.C.

Tilburg : CentER, Center for Economic Research, 2015. (CentER Discussion Paper; Vol. 2015-034).

Research output: Working paperDiscussion paperOther research output

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N2 - Sequential bifurcation (SB) is a very efficient and effective method for identifying the important factors (inputs) of simulation models with very many factors, provided the SB assumptions are valid. A variant of SB called multiresponse SB (MSB) can be applied to simulation models with multiple types of responses (outputs). The specific SB and MSB assumptions are: (i) a second-orderpolynomial per output is an adequate approximation (valid metamodel) of the implicit input/output function of the underlying simulation model; (ii) the directions (signs) of the first-order effects are known (so the first-order polynomial approximation per output is monotonic); (iii) heredity applies; i.e., if an input has no important first-order effect, then this input has no important second-order effects. To validate these three assumptions, we develop new methods. We compare these methods through Monte Carlo experiments and a case study.

AB - Sequential bifurcation (SB) is a very efficient and effective method for identifying the important factors (inputs) of simulation models with very many factors, provided the SB assumptions are valid. A variant of SB called multiresponse SB (MSB) can be applied to simulation models with multiple types of responses (outputs). The specific SB and MSB assumptions are: (i) a second-orderpolynomial per output is an adequate approximation (valid metamodel) of the implicit input/output function of the underlying simulation model; (ii) the directions (signs) of the first-order effects are known (so the first-order polynomial approximation per output is monotonic); (iii) heredity applies; i.e., if an input has no important first-order effect, then this input has no important second-order effects. To validate these three assumptions, we develop new methods. We compare these methods through Monte Carlo experiments and a case study.

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Shi W, Kleijnen JPC. Validating the Assumptions of Sequential Bifurcation in Factor Screening. Tilburg: CentER, Center for Economic Research. 2015 Jun 17. (CentER Discussion Paper).