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Factor Sreening For Simulation With Multiple Responses: Sequential Bifurcation


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

    (Tilburg University, Center for Economic Research)


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.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2013-009.

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Date of creation: 2013
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Handle: RePEc:dgr:kubcen:2013009

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Keywords: simulation; design of experiments; statistical analysis;

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  1. Kleijnen, J.P.C. & Smits, M.T., 2003. "Performance metrics in supply chain management," Open Access publications from Tilburg University urn:nbn:nl:ui:12-111582, Tilburg University.
  2. Shen, Hua & Wan, Hong, 2009. "Controlled sequential factorial design for simulation factor screening," European Journal of Operational Research, Elsevier, vol. 198(2), pages 511-519, October.
  3. Kleijnen, J.P.C., 2008. "Review of the book [Design and Analysis of Simulation Experiments]," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4379049, Tilburg University.
  4. Bettonvil, Bert & Kleijnen, Jack P. C., 1997. "Searching for important factors in simulation models with many factors: Sequential bifurcation," European Journal of Operational Research, Elsevier, vol. 96(1), pages 180-194, January.
  5. YalçInkaya, Özgür & Mirac Bayhan, G., 2009. "Modelling and optimization of average travel time for a metro line by simulation and response surface methodology," European Journal of Operational Research, Elsevier, vol. 196(1), pages 225-233, July.
  6. Kleijnen, J.P.C., 2003. "Supply Chain Simulation: A Survey," Discussion Paper 2003-103, Tilburg University, Center for Economic Research.
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