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Sensitivity analysis of simulation experiments : Regression analysis and statistical design

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  • Kleijnen, J.P.C.

    (Tilburg University, School of Economics and Management)

Abstract

This tutorial gives a survey of strategic issues in the statistical design and analysis of experiments with deterministic and random simulation models. These issues concern validation, what-if analysis, optimization, and so on. The analysis uses regression models and least-squares algorithms. The design uses classical experimental designs such as 2k−p factorials, which are more efficient than one at a time designs are. Moreover, classical designs make it possible to estimate interactions among inputs to the simulation. Simulation models may be optimized through response surface methodology, which combines steepest ascent with regression analysis and experimental design. If there are very many inputs, then special techniques such as group screening and sequential bifurcation are useful. Several applications are discussed.
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Suggested Citation

  • Kleijnen, J.P.C., 1990. "Sensitivity analysis of simulation experiments : Regression analysis and statistical design," Other publications TiSEM 25aee5db-38eb-4e05-b032-2, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:25aee5db-38eb-4e05-b032-2f126e4e4b09
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    2. Reis dos Santos, M. Isabel & Reis dos Santos, Pedro M., 2016. "Switching regression metamodels in stochastic simulation," European Journal of Operational Research, Elsevier, vol. 251(1), pages 142-147.
    3. Storlie, Curtis B. & Helton, Jon C., 2008. "Multiple predictor smoothing methods for sensitivity analysis: Description of techniques," Reliability Engineering and System Safety, Elsevier, vol. 93(1), pages 28-54.
    4. Salameh, F. & Picot, A. & Chabert, M. & Maussion, P., 2017. "Regression methods for improved lifespan modeling of low voltage machine insulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 131(C), pages 200-216.
    5. Helton, Jon C. & Hansen, Clifford W. & Sallaberry, Cédric J., 2012. "Uncertainty and sensitivity analysis in performance assessment for the proposed high-level radioactive waste repository at Yucca Mountain, Nevada," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 44-63.
    6. Helton, Jon C., 2011. "Quantification of margins and uncertainties: Conceptual and computational basis," Reliability Engineering and System Safety, Elsevier, vol. 96(9), pages 976-1013.
    7. Huyet, A.L., 2006. "Optimization and analysis aid via data-mining for simulated production systems," European Journal of Operational Research, Elsevier, vol. 173(3), pages 827-838, September.
    8. Graham, Tennille & White, Benedict & Pannell, David J., 2003. "Efficiency Policies for Salinity Management: Preliminary Research from a Spatial and Dynamic Metamodel," 2003 Conference (47th), February 12-14, 2003, Fremantle, Australia 57879, Australian Agricultural and Resource Economics Society.
    9. David J. Pannell, 1997. "Sensitivity analysis of normative economic models: theoretical framework and practical strategies," Agricultural Economics, International Association of Agricultural Economists, vol. 16(2), pages 139-152, May.
    10. Graham, Tennille, 2005. "On the Road to Better Management: An investigation into the benefits of managing the impacts of dryland salinity on roads," 2005 Conference (49th), February 9-11, 2005, Coff's Harbour, Australia 137921, Australian Agricultural and Resource Economics Society.
    11. Priyanka Majumder & Arnab Paul & Pratik Saha & Mrinmoy Majumder & Dayarnab Baidya & Dhritiman Saha, 2023. "Trapezoidal fuzzy BWM-TOPSIS approach and application on water resources," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(3), pages 2648-2669, March.
    12. Sallaberry, C.J. & Helton, J.C. & Hora, S.C., 2008. "Extension of Latin hypercube samples with correlated variables," Reliability Engineering and System Safety, Elsevier, vol. 93(7), pages 1047-1059.
    13. G.B.C. Backus & G.Th. Timmer & A.A. Dijkhuizen & V.R. Eidman & F. Vos, 1995. "A decision support system for strategic planning on pig farms," Agricultural Economics, International Association of Agricultural Economists, vol. 13(2), pages 101-108, November.
    14. Matteo Richiardi & Roberto Leombruni & Nicole J. Saam & Michele Sonnessa, 2006. "A Common Protocol for Agent-Based Social Simulation," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 9(1), pages 1-15.
    15. Bozağaç, Doruk & Batmaz, İnci & Oğuztüzün, Halit, 2016. "Dynamic simulation metamodeling using MARS: A case of radar simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 124(C), pages 69-86.
    16. Helton, J.C. & Johnson, J.D. & Sallaberry, C.J. & Storlie, C.B., 2006. "Survey of sampling-based methods for uncertainty and sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 91(10), pages 1175-1209.
    17. Tilottama Chakraborty & Mrinmoy Majumder, 2019. "Application of statistical charts, multi-criteria decision making and polynomial neural networks in monitoring energy utilization of wave energy converters," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 21(1), pages 199-219, February.
    18. Soumya Ghosh & Mrinmoy Majumder & Manish Pal, 2018. "Application of metaheuristic algorithm to identify priority parameters for the selection of feasible location having optimum wave energy potential," Energy & Environment, , vol. 29(1), pages 3-28, February.

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