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Proceedings of the 2004 Winter Simulation Conference, 2004.最新文献

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Decision tree module within decision support simulation system 决策支持仿真系统中的决策树模块
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371459
Mohamed Moussa, J. Ruwanpura, G. Jergeas
{"title":"Decision tree module within decision support simulation system","authors":"Mohamed Moussa, J. Ruwanpura, G. Jergeas","doi":"10.1109/WSC.2004.1371459","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371459","url":null,"abstract":"Decision trees are one of the most easy to use tools in decision analysis. Problems where decision tree branches are based on random variables have not received much attention. This paper introduces a successful application of a special purpose simulation (SPS) program in developing a decision tree module that is part of a unified decision support system (DSS) template. The DSS template consists of three modules: decision tree (DT), shortest and longest path dynamic programming (DP) network, and cost/time (CT) estimate network. The DT module integrates with other modules and allows users to model decision trees with variables that are based on probabilistic random numbers. This paper introduces the DSS-DT module and shows its advantages.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117063202","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}
引用次数: 0
Function-approximation-based importance sampling for pricing American options 基于函数逼近的美式期权定价重要性抽样
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.5555/1161734.1161846
N. Bolia, S. Juneja, P. Glasserman
{"title":"Function-approximation-based importance sampling for pricing American options","authors":"N. Bolia, S. Juneja, P. Glasserman","doi":"10.5555/1161734.1161846","DOIUrl":"https://doi.org/10.5555/1161734.1161846","url":null,"abstract":"Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multidimensional American options. However, for many pricing problems the time required to get accurate estimates can still be prohibitive, and this motivates the development of variance reduction techniques. In this paper, we describe a zero-variance importance sampling measure for American options. We then discuss how function approximation may be used to approximately learn this measure; we test this idea in simple examples. We also note that the zero-variance measure is fundamentally connected to a duality result for American options. While our methodology is geared towards developing an estimate of an accurate lower bound for the option price, we observe that importance sampling also reduces variance in estimating the upper bound that follows from the duality.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116179092","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}
引用次数: 27
Optimal computing budget allocation under correlated sampling 相关抽样下的最优计算预算分配
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371366
M. Fu, Jianqiang Hu, Chun-Hung Chen, X. Xiong
{"title":"Optimal computing budget allocation under correlated sampling","authors":"M. Fu, Jianqiang Hu, Chun-Hung Chen, X. Xiong","doi":"10.1109/WSC.2004.1371366","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371366","url":null,"abstract":"We consider the optimal computing budget allocation (OCBA) problem where the simulated designs are correlated. The exact optimal allocation is presented for two designs, and an approximation proposed for more than two designs. Numerical experiments for several examples compare the approximation with some other allocation procedures. Results on convergence rates and the nonGaussian setting are also discussed.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116468925","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}
引用次数: 20
Stochastic approximation with simulated annealing as an approach to global discrete-event simulation optimization 随机逼近与模拟退火作为全局离散事件模拟优化的方法
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371354
Matthew H. Jones, K. White
{"title":"Stochastic approximation with simulated annealing as an approach to global discrete-event simulation optimization","authors":"Matthew H. Jones, K. White","doi":"10.1109/WSC.2004.1371354","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371354","url":null,"abstract":"This paper explores an approach to global, stochastic, simulation optimization which combines stochastic approximation (SA) with simulated annealing (SAN). SA directs a search of the response surface efficiently, using a conservative number of simulation replications to approximate the local gradient of a probabilistic loss function. SAN adds a random component to the SA search, needed to escape local optima and forestall premature termination. Using a limited set of simple test problems, we compare the performance of SA/SAN with the commercial package OptQuest. Results demonstrate that SA/SAN can outperform OptQuest when properly tuned. The practical difficulty lies in specifying an appropriate set of SA/SAN gain coefficients for a given application. Further results demonstrate that a multistart approach greatly improves the coverage and robustness of SA/SAN, while also providing insights useful in directing iterative improvement of the gain coefficients before each new start. This preliminary study is sufficiently encouraging to invite further research on SA/SAN.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125798593","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}
引用次数: 11
Poly-functional intelligent agents for computer generated forces 用于计算机生成力量的多功能智能代理
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371426
M. Brandolini, A. Rocca, A. Bruzzone, C. Briano, Petranka Petrova
{"title":"Poly-functional intelligent agents for computer generated forces","authors":"M. Brandolini, A. Rocca, A. Bruzzone, C. Briano, Petranka Petrova","doi":"10.1109/WSC.2004.1371426","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371426","url":null,"abstract":"The authors present the requirement definition and methodological approach for developing a new generation of computer generated forces (CGF) based on intelligent agents. The analysis is based on the author initiative (PIOVRA) devoted to the development of high level architecture (HLA) components to be integrated for training, planning and operative support. These agents require to act as smart entities in the scenarios reproducing both enemies and/or civil units; their model includes characteristics that are typical of the psychological aspects affecting troops and soldiers on the battlefields as well as operative basic tactics. The authors avoid to create intelligent units in a wide sense due to the fact that artificial intelligence (AI) technology is quite far to the creation of an \"intelligent virtual strategists or commander\"; however their entities are expected to face set of complex situations with realistic cooperative and competitive understanding and reproducing real reactions to the boundary conditions.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"93 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126132476","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}
引用次数: 29
Input modeling using quantile statistical methods 使用分位数统计方法的输入建模
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371383
Abhishek Gupta, E. Parzen
{"title":"Input modeling using quantile statistical methods","authors":"Abhishek Gupta, E. Parzen","doi":"10.1109/WSC.2004.1371383","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371383","url":null,"abstract":"This paper applies quantile data analysis to input modeling in simulation. We introduce the use of QIQ plots to identify suitable distributions fitting the data and comparison distribution P-P plots to test the fit. Two examples illustrate the utility of these quantile statistical methods for input modeling. Popular distribution fitting software often gives confusing results, which is usually a set of distributions differing marginally in the test statistic value. The methods discussed in this paper can be used for further analysis of the software results.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124736318","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}
引用次数: 8
Using autonomous modular material handling equipment for manufacturing flexibility 采用自主模块化物料搬运设备，提高生产灵活性
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371437
B. Johansson, E. Williams, Tord Alenljung
{"title":"Using autonomous modular material handling equipment for manufacturing flexibility","authors":"B. Johansson, E. Williams, Tord Alenljung","doi":"10.1109/WSC.2004.1371437","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371437","url":null,"abstract":"This paper describes a modular autonomous material handling equipment solution for flexible automation. Discrete event simulation is in this case used as a tool for shortening time spent in many different phases of a manufacturing systems lifecycle. The paper presents the concept of autonomous modular material handling equipment, and how simulation is used as a support tool and lead time reducer in each lifecycle phase. Furthermore, we describe the knowledge levels needed for using the simulation support and conclude with examples of how this methodology are reducing lead times within a company.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124874202","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}
引用次数: 8
Enabling a transforming army at war: analysis to improve logistics network efficiency and effectiveness 使军队在战争中转型:提高物流网络效率和有效性的分析
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371475
G. Parlier
{"title":"Enabling a transforming army at war: analysis to improve logistics network efficiency and effectiveness","authors":"G. Parlier","doi":"10.1109/WSC.2004.1371475","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371475","url":null,"abstract":"This paper introduces and summarizes a comprehensive systems approach guiding an ongoing project addressing these significant challenges confronting logistics transformation. Currently sponsored by the Army Aviation and Missile Command (AMCOM), this project involves several supporting organizations both within and external to the army and DOD. Although initially focused on aviation-specific Class IX (spare parts and components) as a test bed, the goal is to develop a prototype that will provide the foundational \"analytical architecture\" to support, guide and accelerate army logistics transformation. Conditions which motivate this research and analysis include (1) the changed nature of our geopolitical landscape resulting in the army's transition to a \"capabilities-based\" force, (2) the opportunity to consider, adapt and extend, where appropriate, integrating \"supply chain\" design, management and analysis concepts that have been driven by increasing competition in the corporate world, and (3) the enabling potential of information technology.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129769702","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}
引用次数: 0
Comparative factory analysis of standard FOUP capacities 标准FOUP产能的工厂对比分析
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371551
Kranthi Mitra Adusumilli, R. Wright
{"title":"Comparative factory analysis of standard FOUP capacities","authors":"Kranthi Mitra Adusumilli, R. Wright","doi":"10.1109/WSC.2004.1371551","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371551","url":null,"abstract":"Wafers in a 300-mm semiconductor fabrication facility are transported throughout the factory in carriers called front opening unified pods (FOUPs). Two standard capacities of FOUPs are 25 and 13 wafers. This paper describes a simulation study designed to compare the performance of a factory employing different FOUP capacities. The main performance measure considered is work-in-process (WIP) and the resulting cycle time. Batching policy, order arrival rate, average order size, the automated material handling system (AMHS) and the number of batch tools largely effect the performance of the models. Most of the empirical results show that the 25-wafer FOUP capacity provides a lower WIP level in a moderately loaded semiconductor factory.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128321782","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}
引用次数: 8
Traffic flow management modeling and operational complexity 交通流管理建模和操作复杂性
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371464
B. Hogan, L. Wojcik
{"title":"Traffic flow management modeling and operational complexity","authors":"B. Hogan, L. Wojcik","doi":"10.1109/WSC.2004.1371464","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371464","url":null,"abstract":"Traffic flow management (TFM) actions are commonly used to mitigate capacity/demand imbalances within the National Airspace System (NAS). Modeling TFM events has proven challenging in the past, partly because of weather forecast uncertainty, and partly because of the complexity and unpredictability associated with highly-interrelated traffic patterns and distributed decision-making in the NAS. In this paper, we present results of a simulation of a NAS TFM event in which weather effects are relatively small. This facilitates interpretation of the similarities and differences between simulation results and the actual event in terms of NAS operations and decision making, with relatively small weather-related complications. We conclude that TFM modeling shows promise as a tool to aid post-event TFM analysis, but the complex operational factors impose limits on the predictability of outcomes in TFM events. A CAASD-developed fast-time network simulation of the NAS was used for this analysis.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130014517","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}
引用次数: 5
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