Showing papers by "Barry L. Nelson published in 2004"
TL;DR: In this paper, the authors developed a numerically exact method for evaluating the time-dependent mean, variance, and higher-order moments of the number of entities in a Ph t / Ph t/8 queuing system.
Abstract: We develop a numerically exact method for evaluating the time-dependent mean, variance, and higher-order moments of the number of entities in aPh t / Ph t /8 queueing system. We also develop a numerically exact method for evaluating the distribution function and moments of the virtual sojourn time for any timet; in our setting, the virtual sojourn time is equivalent to the service time for virtual entities arriving to the system at that timet. We include several examples using software that we have developed and have put in downloadable form in the Online Supplement to this paper on the journal's website.
39 citations
TL;DR: The foundation for the field was provided by two papers published long before simulation had its own department in the journal, and their impact is traced through eight award-winning papers that appeared much later inManagement Science.
Abstract: When the simulation department ofManagement Science was created in 1978 it ushered in an era of significant methodological advances in stochastic simulation. However, the foundation for the field--not just the work that has been published inManagement Science--was provided by two papers published long before simulation had its own department in the journal. We will review the seminal papers of Conway, Johnson, and Maxwell (1959) and Conway (1963), and then trace their impact through eight award-winning papers that appeared much later inManagement Science.
34 citations
05 Dec 2004
TL;DR: This paper illustrates the use of a metamodeling approach to simulation through an example of two real world semiconductor manufacturing systems to demonstrate that, in practice, CT-TH curves can deviate significantly from forms currently assumed in the literature.
Abstract: This paper illustrates an example of the use of a metamodeling approach to simulation through an example of two real world semiconductor manufacturing systems. The meta-model used was from Yang et al. (2004) and has similarities to Cheng and Kleijnen (1999). The approach aims at reducing the amount of simulation work necessary to generate high quality cycle time-throughput (CT-TH) curves. The paper specifically focuses on demonstrating that, in practice, CT-TH curves can deviate significantly from forms currently assumed in the literature (Cheng and Kleijnen 1999).
21 citations
TL;DR: A numerically exact method for evaluating the time-dependent mean, variance, and higher-order moments of the number of entities in the multiclass Kqueueing network system is demonstrated, as well as at the individual network nodes.
Abstract: We demonstrate a numerically exact method for evaluating the time-dependent mean, variance, and higher-order moments of the number of entities in the multiclass [ Ph t / Ph t /8] Kqueueing network system, as well as at the individual network nodes. We allow for multiple, independent, time-dependent entity classes and develop time-dependent performance measures by entity class at the nodal and network levels. We also demonstrate a numerically exact method for evaluating the distribution function and moments of virtual sojourn time through the network for virtual entities, by entity class, arriving to the system at timet. We include an example using software that we have developed and have put in downloadable form in the Online Supplement to this paper on the journal's website.
16 citations
05 Dec 2004
TL;DR: This work explores the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations and finds the best system's expected value is of interest.
Abstract: In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations.
8 citations
05 Dec 2004
TL;DR: A new sequential, eliminating procedure for selecting the best system in a single-factor Bernoulli-response experiment with an odds-ratio indifference zone, where best refers to the system with the largest probability of success on any given trial.
Abstract: We present a new sequential, eliminating procedure for selecting the best system in a single-factor Bernoulli-response experiment with an odds-ratio indifference zone, where best refers to the system with the largest probability of success on any given trial. Analytical results show that the proposed procedure is more efficient than existing procedures in that it requires fewer observations to identify the best system when only two systems are being considered. Empirical results show that the procedure is more efficient for comparing up to five systems when the specified odds-ratio indifference zone is greater than two.
4 citations
01 Jan 2004
TL;DR: This work proposes an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered, and proves that it converges to the set of local optimal solutions with probability 1.
Abstract: We propose an optimization-via-simulation (OvS) algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1 for both terminating and steady-state simulation, and for both fully constrained problems and partially constrained or unconstrained problems under very mild conditions. We show that COMPASS can solve a wide range of problems and work better than some widely used algorithms.
Ranking and selection (RS and the second problem is adapting R&S procedures to work when solutions are revealed sequentially. To solve the first problem, we propose new adaptive sequential R&S procedures that balance the sampling cost and switching cost. To solve the second problem, we design new procedures that allow solutions be added sequentially into the set of solutions in comparison. These procedures provide the same statistical guarantees as existing procedures.
3 citations