Factor screening for simulation with multiple responses: Sequential bifurcation

• Published in: European journal of operational research Vol. 237; no. 1; pp. 136 - 147
• Main Authors: Shi, Wen, Kleijnen, Jack P.C., Liu, Zhixue
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 16.08.2014; Elsevier Sequoia S.A
• Subjects: Approximation; Bifurcations; Computer simulation; Design of experiments; Effectiveness studies; Heredity; Input output analysis; Logistics; Mathematical models; Monte Carlo simulation; Operations research; Polynomials; Probability distribution; Replication; Screening; Simulation; Statistical analysis; China; Simulation; Design of experiments; Statistical analysis
• ISSN: 0377-2217; 1872-6860
• DOI: 10.1016/j.ejor.2014.02.021

•Our method finds the inputs with important effects on one or more outputs.•Our method is efficient because it is sequential.•Our method determines the number of replicates through an improved statistical test.•Our method includes a procedure to validate the assumptions of our method.•We illustrate our method through a case study on a Chinese logistics network. The goal of factor screening is to find the really important inputs (factors) among the many inputs that may be changed in a realistic simulation experiment. A specific method is sequential bifurcation (SB), which is a sequential method that changes groups of inputs simultaneously. SB is most efficient and effective 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; and (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 multi-response 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. To obtain enough replicates (replications) for correctly classifying a group effect or an individual effect as being important or unimportant, MSB applies Wald’s sequential probability ratio test (SPRT). The initial number of replicates in this SPRT is also selected efficiently by MSB. Moreover, MSB includes a procedure to validate the three assumptions of MSB. The paper evaluates the performance of MSB through extensive Monte Carlo experiments that satisfy all MSB assumptions, and through a case study representing a logistic system in China; the results are very promising.