Input-output uncertainty comparisons for optimization via simulation

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

When an optimization via simulation (OvS) procedure designed for known input distributions is applied to a problem with input uncertainty (IU), it typically does not provide the target statistical guarantee. In this paper, we focus on a discrete OvS problem where all systems share the same input distribution estimated from the common input data (CID). We define the CID effect as the joint impact of IU on the outputs of the systems caused by common input distributions. Our input-output uncertainty comparison (IOU-C) procedure leverages the CID effect to provide the joint confidence intervals (CIs) for the difference between each system's mean performance and the best of the rest incorporating both input and output uncertainty. Under mild conditions, IOU comparisons provide the target statistical guarantee as the input sample size and the simulation effort increase.

Original languageEnglish (US)
Title of host publication2016 Winter Simulation Conference
Subtitle of host publicationSimulating Complex Service Systems, WSC 2016
EditorsTheresa M. Roeder, Peter I. Frazier, Robert Szechtman, Enlu Zhou
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3666-3667
Number of pages2
ISBN (Electronic)9781509044863
DOIs
StatePublished - Jul 2 2016
Event2016 Winter Simulation Conference, WSC 2016 - Arlington, United States
Duration: Dec 11 2016Dec 14 2016

Publication series

NameProceedings - Winter Simulation Conference
Volume0
ISSN (Print)0891-7736

Other

Other2016 Winter Simulation Conference, WSC 2016
CountryUnited States
CityArlington
Period12/11/1612/14/16

Fingerprint

Simulation Optimization
Uncertainty
Output
Target
Discrete Optimization
Leverage
Confidence interval
Sample Size
Simulation

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Cite this

Song, E. (2016). Input-output uncertainty comparisons for optimization via simulation. In T. M. Roeder, P. I. Frazier, R. Szechtman, & E. Zhou (Eds.), 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016 (pp. 3666-3667). [7822390] (Proceedings - Winter Simulation Conference; Vol. 0). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2016.7822390
Song, Eunhye. / Input-output uncertainty comparisons for optimization via simulation. 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016. editor / Theresa M. Roeder ; Peter I. Frazier ; Robert Szechtman ; Enlu Zhou. Institute of Electrical and Electronics Engineers Inc., 2016. pp. 3666-3667 (Proceedings - Winter Simulation Conference).
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Song, E 2016, Input-output uncertainty comparisons for optimization via simulation. in TM Roeder, PI Frazier, R Szechtman & E Zhou (eds), 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016., 7822390, Proceedings - Winter Simulation Conference, vol. 0, Institute of Electrical and Electronics Engineers Inc., pp. 3666-3667, 2016 Winter Simulation Conference, WSC 2016, Arlington, United States, 12/11/16. https://doi.org/10.1109/WSC.2016.7822390

Input-output uncertainty comparisons for optimization via simulation. / Song, Eunhye.

2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016. ed. / Theresa M. Roeder; Peter I. Frazier; Robert Szechtman; Enlu Zhou. Institute of Electrical and Electronics Engineers Inc., 2016. p. 3666-3667 7822390 (Proceedings - Winter Simulation Conference; Vol. 0).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Song E. Input-output uncertainty comparisons for optimization via simulation. In Roeder TM, Frazier PI, Szechtman R, Zhou E, editors, 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016. Institute of Electrical and Electronics Engineers Inc. 2016. p. 3666-3667. 7822390. (Proceedings - Winter Simulation Conference). https://doi.org/10.1109/WSC.2016.7822390