Pub Date : 2010-12-05DOI: 10.1109/WSC.2010.5679129
D. Goldsman, R. Nance, James R. Wilson
In response to a request from the WSC Foundation and the WSC 2010 Program Committee, we review and slightly revise our survey of the history of simulation up to 1982, with special emphasis on some of the critical advances in the field and some of the individuals who played leading roles in those advances. Documenting the history of simulation remains a work in progress on our part, and we encourage individuals and organizations in the simulation community to bring significant historical data to our attention.
{"title":"A brief history of simulation revisited","authors":"D. Goldsman, R. Nance, James R. Wilson","doi":"10.1109/WSC.2010.5679129","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679129","url":null,"abstract":"In response to a request from the WSC Foundation and the WSC 2010 Program Committee, we review and slightly revise our survey of the history of simulation up to 1982, with special emphasis on some of the critical advances in the field and some of the individuals who played leading roles in those advances. Documenting the history of simulation remains a work in progress on our part, and we encourage individuals and organizations in the simulation community to bring significant historical data to our attention.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"104 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":"122558733","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.2010.5678967
Nan Chen, Yanchu Liu
In this paper, we investigate efficient Monte Carlo estimators to American option sensitivities on single asset. Using two features of the exercising boundary of the optimal stopping problem, the “continuous-fit” and “smooth-pasting” conditions, we derive unbiased pathwise estimators for first and second-order derivatives. Our method can be easily embedded into some popular algorithms for pricing one-dimensional American options. Numerical examples on vanilla puts illustrate accuracy and efficiency of the method.
{"title":"Pathwise derivative methods on single-asset American option sensitivity estimation","authors":"Nan Chen, Yanchu Liu","doi":"10.1109/WSC.2010.5678967","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678967","url":null,"abstract":"In this paper, we investigate efficient Monte Carlo estimators to American option sensitivities on single asset. Using two features of the exercising boundary of the optimal stopping problem, the “continuous-fit” and “smooth-pasting” conditions, we derive unbiased pathwise estimators for first and second-order derivatives. Our method can be easily embedded into some popular algorithms for pricing one-dimensional American options. Numerical examples on vanilla puts illustrate accuracy and efficiency of the method.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"94 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":"123987165","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.2010.5679014
Jin-Lee Kim
A major disadvantage of using a genetic algorithm for solving a complex problem is that it requires a relatively large amount of computational time to search for the solution space before the solution is finally attained. Thus, it is necessary to identify the tradeoff between the algorithm stopping criteria and the algorithm performance. As an effort of determining the tradeoff, this paper examines the relationship between the algorithm performance and algorithm stopping criteria. Two algorithm stopping criteria, such as the different numbers of unique schedules and the number of generations, are used, while existing studies employ the number of generations as a sole stopping condition. Elitist genetic algorithm is used to solve 30 projects having 30-Activity with four renewable resources for statistical analysis. The relationships are presented by comparing means for algorithm performance measures, which include the fitness values, total algorithm runtime in millisecond, and the flatline starting generation number.
{"title":"Examining the relationship between algorithm stopping criteria and performance using elitist genetic algorithm","authors":"Jin-Lee Kim","doi":"10.1109/WSC.2010.5679014","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679014","url":null,"abstract":"A major disadvantage of using a genetic algorithm for solving a complex problem is that it requires a relatively large amount of computational time to search for the solution space before the solution is finally attained. Thus, it is necessary to identify the tradeoff between the algorithm stopping criteria and the algorithm performance. As an effort of determining the tradeoff, this paper examines the relationship between the algorithm performance and algorithm stopping criteria. Two algorithm stopping criteria, such as the different numbers of unique schedules and the number of generations, are used, while existing studies employ the number of generations as a sole stopping condition. Elitist genetic algorithm is used to solve 30 projects having 30-Activity with four renewable resources for statistical analysis. The relationships are presented by comparing means for algorithm performance measures, which include the fitness values, total algorithm runtime in millisecond, and the flatline starting generation number.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"61 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":"127769395","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.2010.5679001
S. M. Shahandashti, B. Akinci, J. Garrett, L. Soibelman
Project managers need to assess how well construction crews are performing in terms of productivity. This paper presents the preliminary results of an effort carried out by the authors to develop a simulation based framework to support the identification of the information requirements for assessing productivity performance. A prototype to test the proposed framework for the identification of information requirements by studying the assessment of earthmoving productivity is introduced. Based on literature regarding the factors that can affect earthmoving productivity, several scenarios, representing different factors that affect earthmoving productivity, have been created and studied. These scenarios have been simulated to help to identify the information items required for assessing earthmoving productivity, such as hauling distance and loading time. Several potential data capture technologies, such as GPS, RFID and On-Board Instrument can help in acquiring the information items identified in this paper.
{"title":"Identification of information requirements using simulation for supporting construction productivity assessment","authors":"S. M. Shahandashti, B. Akinci, J. Garrett, L. Soibelman","doi":"10.1109/WSC.2010.5679001","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679001","url":null,"abstract":"Project managers need to assess how well construction crews are performing in terms of productivity. This paper presents the preliminary results of an effort carried out by the authors to develop a simulation based framework to support the identification of the information requirements for assessing productivity performance. A prototype to test the proposed framework for the identification of information requirements by studying the assessment of earthmoving productivity is introduced. Based on literature regarding the factors that can affect earthmoving productivity, several scenarios, representing different factors that affect earthmoving productivity, have been created and studied. These scenarios have been simulated to help to identify the information items required for assessing earthmoving productivity, such as hauling distance and loading time. Several potential data capture technologies, such as GPS, RFID and On-Board Instrument can help in acquiring the information items identified in this paper.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"19 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":"129229175","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.2010.5678893
Stuart Jinks, J. Scanlan, P. Reed, S. Wiseall
Utilising dynamic simulation methods to estimate manufacturing resources, can improve unit cost estimation and aid design decisions. This paper introduces a framework specification that combines Computer Aided Design (CAD), Computer Aided Process Planning (CAPP) and Discrete Event Simulation (DES) technologies. The framework is used to aid a design team in understanding the consequences of design decisions in terms of cost and manufacturing resources, by returning unit cost and manufacturing based results, directly to the design team, within the design environment. Dynamic Resource Estimation System (DRES) is a system being developed to implement the framework and is presented in this paper.
{"title":"Utilising dynamic factory simulation to improve unit cost estimation and aid design decisions","authors":"Stuart Jinks, J. Scanlan, P. Reed, S. Wiseall","doi":"10.1109/WSC.2010.5678893","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678893","url":null,"abstract":"Utilising dynamic simulation methods to estimate manufacturing resources, can improve unit cost estimation and aid design decisions. This paper introduces a framework specification that combines Computer Aided Design (CAD), Computer Aided Process Planning (CAPP) and Discrete Event Simulation (DES) technologies. The framework is used to aid a design team in understanding the consequences of design decisions in terms of cost and manufacturing resources, by returning unit cost and manufacturing based results, directly to the design team, within the design environment. Dynamic Resource Estimation System (DRES) is a system being developed to implement the framework and is presented in this paper.","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":"128806369","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.2010.5678972
Guangwu Liu
Value-at-Risk is often used as a risk measure of credit portfolios, and it can be decomposed into a sum of risk contributions associated with individual obligors. These risk contributions play an important role in risk management of credit portfolios. They can be used to measure risk-adjusted performances of subportfolios and to allocate risk capital. Mathematically, risk contributions can be represented as conditional expectations, which are conditioned on rare events. In this paper, we develop a restricted importance sampling (IS) method for simulating risk contributions, and devise estimators whose mean square errors converge in a rate of n−1. Furthermore, we combine our method with the IS method in the literature to improve the efficiency of the estimators. Numerical examples show that the proposed method works quite well.
{"title":"Importance sampling for risk contributions of credit portfolios","authors":"Guangwu Liu","doi":"10.1109/WSC.2010.5678972","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678972","url":null,"abstract":"Value-at-Risk is often used as a risk measure of credit portfolios, and it can be decomposed into a sum of risk contributions associated with individual obligors. These risk contributions play an important role in risk management of credit portfolios. They can be used to measure risk-adjusted performances of subportfolios and to allocate risk capital. Mathematically, risk contributions can be represented as conditional expectations, which are conditioned on rare events. In this paper, we develop a restricted importance sampling (IS) method for simulating risk contributions, and devise estimators whose mean square errors converge in a rate of n−1. Furthermore, we combine our method with the IS method in the literature to improve the efficiency of the estimators. Numerical examples show that the proposed method works quite well.","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":"115389116","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.2010.5678894
Onur M. Ülgen, S. Bury, R. Lu, E. Williams, Demet C. Wood
A panel of simulation managers from manufacturing companies discuss the following six topics: (1) How are managers responsible for manufacturing best persuaded to try simulation? (2) How can capturing the benefits of simulation best be made a regular process? What are the roles of model databases and reuse, input databases, standardization, change management, simulation project management, and training in such a process? (3) What other areas should one consider in addition to the ones listed in item 2 above in such a process? (4) Where should the Simulation Services Department reside in the organizational structure of a manufacturing company? Should it be centralized or decentralized? (5) How can simulation usage (“the first project”) best be undertaken to be a success? (6) How can momentum best be maintained after simulation usage is accepted?
{"title":"Panel discussion: Business processes for applying de simulation effectively in manufacturing companies","authors":"Onur M. Ülgen, S. Bury, R. Lu, E. Williams, Demet C. Wood","doi":"10.1109/WSC.2010.5678894","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678894","url":null,"abstract":"A panel of simulation managers from manufacturing companies discuss the following six topics: (1) How are managers responsible for manufacturing best persuaded to try simulation? (2) How can capturing the benefits of simulation best be made a regular process? What are the roles of model databases and reuse, input databases, standardization, change management, simulation project management, and training in such a process? (3) What other areas should one consider in addition to the ones listed in item 2 above in such a process? (4) Where should the Simulation Services Department reside in the organizational structure of a manufacturing company? Should it be centralized or decentralized? (5) How can simulation usage (“the first project”) best be undertaken to be a success? (6) How can momentum best be maintained after simulation usage is accepted?","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"80 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":"115522472","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.2010.5678901
A. Skoogh, J. Michaloski, Nils Bengtsson
Discrete Event Simulation (DES) is a powerful tool for efficiency improvements in production. However, instead of integrating the tool in the daily work of production engineers, companies apply it mostly in single-purpose studies such as major investment projects. One significant reason is the extensive time-consumption for input data management, which has to be performed for every simulation analysis to avoid making decisions based upon obsolete facts. This paper presents an approach that combines automated raw data collection and automated processing of raw data to simulation information. MTConnect is used for collection of raw data and the GDM-Tool is applied for data processing. The purpose is to enable efficient reuse of DES models by reducing the time-consumption for input data management. Furthermore, the approach is evaluated using production data from the aerospace industry.
{"title":"Towards continuously updated simulation models: combining automated raw data collection and automated data processing","authors":"A. Skoogh, J. Michaloski, Nils Bengtsson","doi":"10.1109/WSC.2010.5678901","DOIUrl":"https://doi.org/10.1109/WSC.2010.5678901","url":null,"abstract":"Discrete Event Simulation (DES) is a powerful tool for efficiency improvements in production. However, instead of integrating the tool in the daily work of production engineers, companies apply it mostly in single-purpose studies such as major investment projects. One significant reason is the extensive time-consumption for input data management, which has to be performed for every simulation analysis to avoid making decisions based upon obsolete facts. This paper presents an approach that combines automated raw data collection and automated processing of raw data to simulation information. MTConnect is used for collection of raw data and the GDM-Tool is applied for data processing. The purpose is to enable efficient reuse of DES models by reducing the time-consumption for input data management. Furthermore, the approach is evaluated using production data from the aerospace industry.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"130 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":"114307017","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}
M. Pidd, S. Robinson, R. Davies, Kathryn Hoad, R. Cheng
To provide a broader education for Operational Research PhD students in the UK, the Engineering and Physical Sciences Research Council funds the National Taught Course Centre for Operational Research (NATCOR). This is an initiative led by six UK universities and includes a one-week, residential simulation module taught for the first time in July 2009. We describe the background to NATCOR, summarize its content and reflect on its further development.
{"title":"PhD training in simulation: NATCOR","authors":"M. Pidd, S. Robinson, R. Davies, Kathryn Hoad, R. Cheng","doi":"10.5555/2433508.2433546","DOIUrl":"https://doi.org/10.5555/2433508.2433546","url":null,"abstract":"To provide a broader education for Operational Research PhD students in the UK, the Engineering and Physical Sciences Research Council funds the National Taught Course Centre for Operational Research (NATCOR). This is an initiative led by six UK universities and includes a one-week, residential simulation module taught for the first time in July 2009. We describe the background to NATCOR, summarize its content and reflect on its further development.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"23 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":"114587502","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.2010.5679128
S. Sheikh-Bahaei, C. Hunt
No concrete, causal, mechanistic theory is available to explain how different hepatic zonation patterns of P450 isozyme levels and hepatotoxicity emerge following dosing with different compounds. We used the synthetic method of modeling and simulation to discover, explore, and experimentally challenge a concrete mechanism that shows how and why biomimetic zonation patterns emerge and change within agent-based analogues. We hypothesized that those mechanisms have counterparts in rats. Mobile objects map to compounds. One analogue is comprised of a linear sequence of 20 identical, quasi-autonomous functional units called sinusoidal segments (SSs). SSs detect and respond to compound-generated response signals and the local level of a gradient. Each SS adapts to new information with the objective of improving efficiency (lowering costs). Upon compound exposure, analogues developed a variety of patterns that were strikingly similar to those reported in the literature.
{"title":"Simulating plausible mechanisms for changing hepatic xenobiotic clearance patterns","authors":"S. Sheikh-Bahaei, C. Hunt","doi":"10.1109/WSC.2010.5679128","DOIUrl":"https://doi.org/10.1109/WSC.2010.5679128","url":null,"abstract":"No concrete, causal, mechanistic theory is available to explain how different hepatic zonation patterns of P450 isozyme levels and hepatotoxicity emerge following dosing with different compounds. We used the synthetic method of modeling and simulation to discover, explore, and experimentally challenge a concrete mechanism that shows how and why biomimetic zonation patterns emerge and change within agent-based analogues. We hypothesized that those mechanisms have counterparts in rats. Mobile objects map to compounds. One analogue is comprised of a linear sequence of 20 identical, quasi-autonomous functional units called sinusoidal segments (SSs). SSs detect and respond to compound-generated response signals and the local level of a gradient. Each SS adapts to new information with the objective of improving efficiency (lowering costs). Upon compound exposure, analogues developed a variety of patterns that were strikingly similar to those reported in the literature.","PeriodicalId":272260,"journal":{"name":"Proceedings of the 2010 Winter Simulation Conference","volume":"12 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":"115167514","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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