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Bayesian Simulation and Decision Analysis: An Expository Survey

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  • Jason R. W. Merrick

    (Department of Statistical Sciences and Operations Research, Virginia Commonwealth University, Richmond, Virginia 23284)

Abstract

The aim of this expository survey on Bayesian simulation is to stimulate more work in the area by decision analysts. We discuss the main areas of research performed thus far, including input analysis, propagation and estimation of output uncertainty, output analysis, making decisions with simulations, selecting the best simulated system, and applications of Bayesian simulation methods. Throughout, we offer avenues of future research in Bayesian simulation that may be of interest to decision analysts.

Suggested Citation

  • Jason R. W. Merrick, 2009. "Bayesian Simulation and Decision Analysis: An Expository Survey," Decision Analysis, INFORMS, vol. 6(4), pages 222-238, December.
    • Handle: RePEc:inm:ordeca:v:6:y:2009:i:4:p:222-238
    DOI: 10.1287/deca.1090.0151
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    References listed on IDEAS

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    1. Johan R. Van Dorp & Jason R. W. Merrick & John R. Harrald & Thomas A. Mazzuchi & Martha Grabowski, 2001. "A Risk Management Procedure for the Washington State Ferries," Risk Analysis, John Wiley & Sons, vol. 21(1), pages 127-142, February.
    2. Stephen E. Chick & Sada Soorapanth & James S. Koopman, 2003. "Inferring Infection Transmission Parameters That Influence Water Treatment Decisions," Management Science, INFORMS, vol. 49(7), pages 920-935, July.
    3. Jason R. W. Merrick & Rene Van Dorp, 2006. "Speaking the Truth in Maritime Risk Assessment," Risk Analysis, John Wiley & Sons, vol. 26(1), pages 223-237, February.
    4. van Beers, Wim C.M. & Kleijnen, Jack P.C., 2008. "Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping," European Journal of Operational Research, Elsevier, vol. 186(3), pages 1099-1113, May.
    5. Stephen E. Chick & Noah Gans, 2009. "Economic Analysis of Simulation Selection Problems," Management Science, INFORMS, vol. 55(3), pages 421-437, March.
    6. John Butler & Douglas J. Morrice & Peter W. Mullarkey, 2001. "A Multiple Attribute Utility Theory Approach to Ranking and Selection," Management Science, INFORMS, vol. 47(6), pages 800-816, June.
    7. Concha Bielza & Peter Müller & David Ríos Insua, 1999. "Decision Analysis by Augmented Probability Simulation," Management Science, INFORMS, vol. 45(7), pages 995-1007, July.
    8. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika Van Der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639, October.
    9. David Goldsman & Seong-Hee Kim & William S. Marshall & Barry L. Nelson, 2002. "Ranking and Selection for Steady-State Simulation: Procedures and Perspectives," INFORMS Journal on Computing, INFORMS, vol. 14(1), pages 2-19, February.
    10. Stephen E. Chick, 2001. "Input Distribution Selection for Simulation Experiments: Accounting for Input Uncertainty," Operations Research, INFORMS, vol. 49(5), pages 744-758, October.
    11. Jason R. W. Merrick & J. Rene Van Dorp & Varun Dinesh, 2005. "Assessing Uncertainty in Simulation‐Based Maritime Risk Assessment," Risk Analysis, John Wiley & Sons, vol. 25(3), pages 731-743, June.
    12. Robert T. Clemen & Robert L. Winkler, 1999. "Combining Probability Distributions From Experts in Risk Analysis," Risk Analysis, John Wiley & Sons, vol. 19(2), pages 187-203, April.
    13. Ali E. Abbas & Ronald A. Howard, 2005. "Attribute Dominance Utility," Decision Analysis, INFORMS, vol. 2(4), pages 185-206, December.
    14. Szu Hui Ng & Stephen E. Chick, 2004. "Design of follow‐up experiments for improving model discrimination and parameter estimation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(8), pages 1129-1148, December.
    15. Barry L. Nelson & Frank J. Matejcik, 1995. "Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation," Management Science, INFORMS, vol. 41(12), pages 1935-1945, December.
    16. Jason R. W. Merrick & J. René van Dorp & Thomas Mazzuchi & John R. Harrald & John E. Spahn & Martha Grabowski, 2002. "The Prince William Sound Risk Assessment," Interfaces, INFORMS, vol. 32(6), pages 25-40, December.
    17. Stephen E. Chick & Koichiro Inoue, 2001. "New Procedures to Select the Best Simulated System Using Common Random Numbers," Management Science, INFORMS, vol. 47(8), pages 1133-1149, August.
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    Cited by:

    1. Ekin, Tahir & Aktekin, Tevfik, 2021. "Decision making under uncertain and dependent system rates in service systems," European Journal of Operational Research, Elsevier, vol. 291(1), pages 335-348.
    2. Jason R. W. Merrick & Fabrizio Ruggeri & Refik Soyer & L. Robin Keller, 2012. "From the Editors---Games and Decisions in Reliability and Risk," Decision Analysis, INFORMS, vol. 9(2), pages 81-85, June.
    3. L. Robin Keller & Ali Abbas & Manel Baucells & Vicki M. Bier & David Budescu & John C. Butler & Philippe Delquié & Jason R. W. Merrick & Ahti Salo & George Wu, 2010. "From the Editors..," Decision Analysis, INFORMS, vol. 7(4), pages 327-330, December.
      • L. Robin Keller & Manel Baucells & Kevin F. McCardle & Gregory S. Parnell & Ahti Salo, 2007. "From the Editors..," Decision Analysis, INFORMS, vol. 4(4), pages 173-175, December.
      • L. Robin Keller & Manel Baucells & John C. Butler & Philippe Delquié & Jason R. W. Merrick & Gregory S. Parnell & Ahti Salo, 2008. "From the Editors..," Decision Analysis, INFORMS, vol. 5(4), pages 173-176, December.
      • L. Robin Keller & Manel Baucells & John C. Butler & Philippe Delquié & Jason R. W. Merrick & Gregory S. Parnell & Ahti Salo, 2009. "From the Editors ..," Decision Analysis, INFORMS, vol. 6(4), pages 199-201, December.
    4. L. Robin Keller & Ali Abbas & J. Eric Bickel & Vicki M. Bier & David V. Budescu & John C. Butler & Philippe Delquié & Kenneth C. Lichtendahl & Jason R. W. Merrick & Ahti Salo & George Wu, 2011. "From the Editors ---Probability Scoring Rules, Ambiguity, Multiattribute Terrorist Utility, and Sensitivity Analysis," Decision Analysis, INFORMS, vol. 8(4), pages 251-255, December.
    5. Hans Olav Vogt Myklebust & Jo Eidsvik & Iver Bakken Sperstad & Debarun Bhattacharjya, 2020. "Value of Information Analysis for Complex Simulator Models: Application to Wind Farm Maintenance," Decision Analysis, INFORMS, vol. 17(2), pages 134-153, June.
    6. Peter I. Frazier & Warren B. Powell, 2010. "Paradoxes in Learning and the Marginal Value of Information," Decision Analysis, INFORMS, vol. 7(4), pages 378-403, December.
    7. L. Robin Keller & Kelly M. Kophazi, 2010. "From the Editors..," Decision Analysis, INFORMS, vol. 7(2), pages 151-154, June.

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