Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678973
Ming Liu, B. Nelson, J. Staum
We develop a sequential experiment design procedure to construct multiple metamodels based on a single stochastic simulation model. We apply the procedure to approximate many securities' prices as functions of a financial scenario. We propose a cross-validation method that adds design points and simulation effort at the design points to target all metamodels' relative prediction errors. To improve the expected quality of the metamodels given randomness of the scenario that is an input to the simulation model, we also propose a way to choose design points so that the scenario is likely to fall inside their convex hull.
{"title":"Simulation on demand for pricing many securities","authors":"Ming Liu, B. Nelson, J. Staum","doi":"10.1109/WSC.2010.5678973","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678973","url":null,"abstract":"We develop a sequential experiment design procedure to construct multiple metamodels based on a single stochastic simulation model. We apply the procedure to approximate many securities' prices as functions of a financial scenario. We propose a cross-validation method that adds design points and simulation effort at the design points to target all metamodels' relative prediction errors. To improve the expected quality of the metamodels given randomness of the scenario that is an input to the simulation model, we also propose a way to choose design points so that the scenario is likely to fall inside their convex hull.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132214763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678952
W. Scholl, Boon-Ping Gan, Ming Li Peh, P. Lendermann, Daniel Noack, O. Rose, P. Preuss
Discrete Event Simulation (DES) has widely been used for mid and long term forecasting in wafer fabrication plants. But the use of DES for short term forecasting has been limited due to the perceived modelling and computation complexity as well as the non-steady state nature of today's wafer fab operations. In this paper, we discuss some important modelling issues associated with building an online simulation model. Key elements considered are actual process routes, process and throughput modelling as a function of equipment behavior, lot size, and available processing modules, process dedication at equipment level, equipment downs at mainframe level, estimated lot release strategy, send ahead wafers, dispatch rules, and setup. Typical application areas are proactive dedication management, preventive maintenance scheduling and WIP based sampling optimization.
{"title":"Towards realization of a high-fidelity simulation model for short-term horizon forecasting in wafer fabrication facilities","authors":"W. Scholl, Boon-Ping Gan, Ming Li Peh, P. Lendermann, Daniel Noack, O. Rose, P. Preuss","doi":"10.1109/WSC.2010.5678952","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678952","url":null,"abstract":"Discrete Event Simulation (DES) has widely been used for mid and long term forecasting in wafer fabrication plants. But the use of DES for short term forecasting has been limited due to the perceived modelling and computation complexity as well as the non-steady state nature of today's wafer fab operations. In this paper, we discuss some important modelling issues associated with building an online simulation model. Key elements considered are actual process routes, process and throughput modelling as a function of equipment behavior, lot size, and available processing modules, process dedication at equipment level, equipment downs at mainframe level, estimated lot release strategy, send ahead wafers, dispatch rules, and setup. Typical application areas are proactive dedication management, preventive maintenance scheduling and WIP based sampling optimization.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134308982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678879
K. Miwa, S. Takakuwa
In this study, a simulation modeling procedure for a retail store was proposed to find the optimal number of clerks based on operation types, operation frequency, and staffing schedule. First, all required data for staffing problems were collected and work loading was performed during each 24-hour period. Then, integer programming was used to obtain an initial feasible solution. Finally, simulation experiments were performed together using OptQuest, and optimal solutions were obtained. The proposed procedure was applied to the actual case. It was found that the staffing problems can be solved easily and effectively.
{"title":"Optimization and analysis of staffing problems at a retail store","authors":"K. Miwa, S. Takakuwa","doi":"10.1109/WSC.2010.5678879","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678879","url":null,"abstract":"In this study, a simulation modeling procedure for a retail store was proposed to find the optimal number of clerks based on operation types, operation frequency, and staffing schedule. First, all required data for staffing problems were collected and work loading was performed during each 24-hour period. Then, integer programming was used to obtain an initial feasible solution. Finally, simulation experiments were performed together using OptQuest, and optimal solutions were obtained. The proposed procedure was applied to the actual case. It was found that the staffing problems can be solved easily and effectively.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122962459","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5679122
N. Mustafee, Simon J. E. Taylor
Collaborative research has facilitated the development of distributed systems that provide users nontrivial access to geographically dispersed resources that are administered in multiple computer domains. The term grid computing is popularly used to refer to such distributed systems. Scientific simulations have traditionally been the primary benefactor of grid computing. The application of this technology to simulation in industry has, however, been negligible. This research investigates grid technology in the context of Commercial Simulation Packages (CSPs). Towards this end, the paper identifies (a) six CSP-specific grid services, (b) identifies grid middleware that could be used to provide the CSP-specific grid services, and (c) list CSPs that include vendor-specific solutions for these grid services. The authors hope that this research will lead to an increased awareness of the potential of grid computing among simulation end users and CSP vendors.
{"title":"Grid services for Commercial Simulation Packages","authors":"N. Mustafee, Simon J. E. Taylor","doi":"10.1109/WSC.2010.5679122","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679122","url":null,"abstract":"Collaborative research has facilitated the development of distributed systems that provide users nontrivial access to geographically dispersed resources that are administered in multiple computer domains. The term grid computing is popularly used to refer to such distributed systems. Scientific simulations have traditionally been the primary benefactor of grid computing. The application of this technology to simulation in industry has, however, been negligible. This research investigates grid technology in the context of Commercial Simulation Packages (CSPs). Towards this end, the paper identifies (a) six CSP-specific grid services, (b) identifies grid middleware that could be used to provide the CSP-specific grid services, and (c) list CSPs that include vendor-specific solutions for these grid services. The authors hope that this research will lead to an increased awareness of the potential of grid computing among simulation end users and CSP vendors.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134490180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678961
P. Glasserman, Xingbo Xu
We develop an importance sampling (IS) algorithm to estimate the lower tail of the distribution of returns for a discretely rebalanced portfolio—one in which portfolio weights are reset at regular intervals. We use a more tractable continuously rebalanced portfolio to design the IS estimator. We analyze a limiting regime based on estimating probabilities farther in the tail while letting the rebalancing frequency increase. We show that the estimator is asymptotically efficient for this sequence of problems; its relative error grows in proportion to the fourth root of the number of rebalancing dates.
{"title":"Importance sampling for tail risk in discretely rebalanced portfolios","authors":"P. Glasserman, Xingbo Xu","doi":"10.1109/WSC.2010.5678961","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678961","url":null,"abstract":"We develop an importance sampling (IS) algorithm to estimate the lower tail of the distribution of returns for a discretely rebalanced portfolio—one in which portfolio weights are reset at regular intervals. We use a more tractable continuously rebalanced portfolio to design the IS estimator. We analyze a limiting regime based on estimating probabilities farther in the tail while letting the rebalancing frequency increase. We show that the estimator is asymptotically efficient for this sequence of problems; its relative error grows in proportion to the fourth root of the number of rebalancing dates.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132021066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5679047
James Decraene, Mahinthan Chandramohan, M. Low, Chwee Seng Choo
We report preliminary studies on evolvable simulations applied to Automated Red Teaming (ART). ART is a vulnerability assessment tool in which agent-based models of simplified military scenarios are repeatedly and automatically generated, executed and varied. Nature-inspired heuristic techniques are utilized to drive the exploration of simulation models to exhibit desired system behaviors. To date, ART investigations have essentially addressed the evolution of a limited fixed set of parameters determining the agents' behavior. We propose to extend ART to widen the range of evolvable simulation model parameters. Using this “evolvable simulation” approach, we conduct experiments in which the agents' structure is evolved. Specifically, a maritime scenario is examined where the individual trajectories of belligerent vessels are evolved to break Blue. These experiments are conducted using a modular evolutionary framework coined CASE. The results present counter-intuitive outcomes and suggest that evolvable simulation is a promising technique to enhance ART.
{"title":"Evolvable simulations applied to Automated Red Teaming: A preliminary study","authors":"James Decraene, Mahinthan Chandramohan, M. Low, Chwee Seng Choo","doi":"10.1109/WSC.2010.5679047","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679047","url":null,"abstract":"We report preliminary studies on evolvable simulations applied to Automated Red Teaming (ART). ART is a vulnerability assessment tool in which agent-based models of simplified military scenarios are repeatedly and automatically generated, executed and varied. Nature-inspired heuristic techniques are utilized to drive the exploration of simulation models to exhibit desired system behaviors. To date, ART investigations have essentially addressed the evolution of a limited fixed set of parameters determining the agents' behavior. We propose to extend ART to widen the range of evolvable simulation model parameters. Using this “evolvable simulation” approach, we conduct experiments in which the agents' structure is evolved. Specifically, a maritime scenario is examined where the individual trajectories of belligerent vessels are evolved to break Blue. These experiments are conducted using a modular evolutionary framework coined CASE. The results present counter-intuitive outcomes and suggest that evolvable simulation is a promising technique to enhance ART.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132182647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678885
Lin Li, K. Sourirajan, K. Katircioglu
We present a simulation-regression based method for obtaining inventory policies for a two-echelon distribution system with service level constraints. Our motivation comes from a wholesale distributor in the consumer products industry with thousands of products that have different cost, demand, and lead time characteristics. We need to obtain good inventory policies quickly so that supply chain managers can run and analyze multiple scenarios effectively in reasonable amount of time. While simulation-based optimization approaches can be used, the time required to solve the inventory problem for a large number of products is prohibitive. On the other hand, available quick approximations are not guaranteed to provide satisfactory solutions. Our approach involves sampling the universe of products with different problem parameters, obtaining their optimal inventory policies via simulation-based optimization and then using regression methods to characterize the inventory policy for similar products. We show that our method obtains near-optimal policies and is quite robust.
{"title":"Empirical methods for two-echelon inventory management with service level constraints based on simulation-regression","authors":"Lin Li, K. Sourirajan, K. Katircioglu","doi":"10.1109/WSC.2010.5678885","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678885","url":null,"abstract":"We present a simulation-regression based method for obtaining inventory policies for a two-echelon distribution system with service level constraints. Our motivation comes from a wholesale distributor in the consumer products industry with thousands of products that have different cost, demand, and lead time characteristics. We need to obtain good inventory policies quickly so that supply chain managers can run and analyze multiple scenarios effectively in reasonable amount of time. While simulation-based optimization approaches can be used, the time required to solve the inventory problem for a large number of products is prohibitive. On the other hand, available quick approximations are not guaranteed to provide satisfactory solutions. Our approach involves sampling the universe of products with different problem parameters, obtaining their optimal inventory policies via simulation-based optimization and then using regression methods to characterize the inventory policy for similar products. We show that our method obtains near-optimal policies and is quite robust.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"794 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133485930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678876
U. Prasad, S. Gavirneni
With the rapid increase in global trade and introduction of new security measures, maritime supply chain costs have increased and so has the need for business intelligence in improving maritime shipping operations. We develop a seaport operations model that simulates the decision making process associated with scheduling and processing of ships with the objective of evaluating the value of Geographical Information System (GIS) information. We consider two scenarios: (1) A traditional model where there is no GIS information on future ship arrivals; and (2) An information-rich model in which the arrival time of the next ship is known. We propose look-ahead based heuristics for the resulting optimization problems, determine the value of information (VOI), and tabulate how VOI varies as a function of the various operational parameters. Adding such operational intelligence to shipping operations improves the performance by as much as 60% (and by 15% on average) and reduces the costs without expanding the physical footprint of the seaport.
{"title":"A simulation approach to estimate the value of information in maritime supply chains","authors":"U. Prasad, S. Gavirneni","doi":"10.1109/WSC.2010.5678876","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678876","url":null,"abstract":"With the rapid increase in global trade and introduction of new security measures, maritime supply chain costs have increased and so has the need for business intelligence in improving maritime shipping operations. We develop a seaport operations model that simulates the decision making process associated with scheduling and processing of ships with the objective of evaluating the value of Geographical Information System (GIS) information. We consider two scenarios: (1) A traditional model where there is no GIS information on future ship arrivals; and (2) An information-rich model in which the arrival time of the next ship is known. We propose look-ahead based heuristics for the resulting optimization problems, determine the value of information (VOI), and tabulate how VOI varies as a function of the various operational parameters. Adding such operational intelligence to shipping operations improves the performance by as much as 60% (and by 15% on average) and reduces the costs without expanding the physical footprint of the seaport.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121056620","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5679079
Feng Yang, Jingang Liu
This paper is concerned with characterizing the transient behavior of general queueing systems, which is widely known to be notoriously difficult. The objective is to develop a statistical methodology, integrated with extensive offline simulation and preliminary queueing analysis, for the estimation of a small number of transfer function models (TFMs) that quantify the input-output dynamics of a general queueing system. The input here is the time-varying release rate of entities to the system; the time-dependent output performances include the output rate of entities and the mean of the work in process (i.e., number of entities in the system). The resulting TFMs are difference equations, like the discrete approximations of the ordinary differential equations provided by an analytical approach, while possessing the high fidelity of simulation. The proposed method is expected to overcome the shortcomings of the existing transient analysis approaches, i.e., the computational burden of simulation and the lack of fidelity of analytical queueing models.
{"title":"Transient analysis of general queueing systems via simulation-based transfer function modeling","authors":"Feng Yang, Jingang Liu","doi":"10.1109/WSC.2010.5679079","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679079","url":null,"abstract":"This paper is concerned with characterizing the transient behavior of general queueing systems, which is widely known to be notoriously difficult. The objective is to develop a statistical methodology, integrated with extensive offline simulation and preliminary queueing analysis, for the estimation of a small number of transfer function models (TFMs) that quantify the input-output dynamics of a general queueing system. The input here is the time-varying release rate of entities to the system; the time-dependent output performances include the output rate of entities and the mean of the work in process (i.e., number of entities in the system). The resulting TFMs are difference equations, like the discrete approximations of the ordinary differential equations provided by an analytical approach, while possessing the high fidelity of simulation. The proposed method is expected to overcome the shortcomings of the existing transient analysis approaches, i.e., the computational burden of simulation and the lack of fidelity of analytical queueing models.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116030815","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5678861
J. Rangel, Andre Prado Cunha, Leandro Rangel de Azevedo, D. S. Vianna
We present, in this paper, a simulation model to evaluate the sugarcane supply system to mills. The model addressed, on the whole, harvest operations (cutting and shipping), transportation and unloading at the mill (also considering the reception system of sugarcane within the mill). The model could adequately assess the relation of the freight, the lead time, the fleet of trucks and discount (opposite of agio), apart from the cost of cutting and shipping, related to the amount to be paid by the sugarcane load furnished to the mill.
{"title":"A simulation model to evaluate sugarcane supply systems","authors":"J. Rangel, Andre Prado Cunha, Leandro Rangel de Azevedo, D. S. Vianna","doi":"10.1109/WSC.2010.5678861","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678861","url":null,"abstract":"We present, in this paper, a simulation model to evaluate the sugarcane supply system to mills. The model addressed, on the whole, harvest operations (cutting and shipping), transportation and unloading at the mill (also considering the reception system of sugarcane within the mill). The model could adequately assess the relation of the freight, the lead time, the fleet of trucks and discount (opposite of agio), apart from the cost of cutting and shipping, related to the amount to be paid by the sugarcane load furnished to the mill.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116813586","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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