Title :
An asymptotic allocation for simultaneous simulation experiments
Author :
Chen, Hsiao-Chang ; Chen, Chun-Hung ; Lin, Jianwu ; Yucesan, Enver
Author_Institution :
SynQuest Inc., Clifton Park, NY, USA
fDate :
6/21/1905 12:00:00 AM
Abstract :
Considers the allocation of a fixed total number of simulation replications among competing design alternatives in order to (i) identify the best simulated design, (ii) intelligently determine the best simulation run lengths for all simulation experiments, and (iii) significantly reduce the total computation cost. An asymptotically optimal allocation rule for maximizing a lower bound of the probability of correct selection is presented. Moreover, we illustrate the efficiency of our method with a series of generic numerical experiments. The simulation cost is significantly reduced with our sequential approach
Keywords :
design of experiments; optimisation; probability; simulation; asymptotic allocation; asymptotically optimal allocation rule; best simulated design; best simulation run lengths; competing design alternatives; computational cost reduction; correct selection probability lower bound maximization; efficiency; generic numerical experiments; sequential approach; simulation cost; simulation replications; simultaneous simulation experiments; Analytical models; Communication networks; Computational efficiency; Computational modeling; Costs; Performance analysis; Production facilities; Systems engineering and theory; Telecommunication traffic; Traffic control;
Conference_Titel :
Simulation Conference Proceedings, 1999 Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5780-9
DOI :
10.1109/WSC.1999.823096
