NIM: Generative Neural Networks for Automated Modeling and Generation of Simulation Inputs

Abstract

Fitting stochastic input-process models to data and then sampling from them are key steps in a simulation study, but highly challenging to non-experts. We present Neural Input Modeling (NIM), a generative-neural-network (GNN) framework that exploits modern data-rich environments to automatically capture simulation input processes and then generate samples from them. The basic GNN that we develop, called NIM-VL, comprises (i) a variational-autoencoder (VAE) architecture that learns the probability distribution of the input data while avoiding overfitting and (ii) Long Short-Term Memory (LSTM) components that concisely capture statistical dependencies across time. We show how the basic GNN architecture can be modified to exploit known distributional properties—such as i.i.d. structure, nonnegativity, and multimodality—in order to increase accuracy and speed, as well as to handle multivariate processes, categorical-valued processes, and extrapolation beyond the training data for certain nonstationary processes. We also introduce an extension to NIM called “conditional” NIM (CNIM), which can learn from training data obtained under various realizations of a (possibly time-series-valued) stochastic “condition”, such as temperature or inflation rate, and then generate sample paths given a value of the condition not seen in the training data. This enables users to simulate a system under a specific working condition by customizing a pre-trained model; CNIM also facilitates what-if analysis. Extensive experiments show the efficacy of our approach. NIM can thus help overcome one of the key barriers to simulation for non-experts.