Title: An alternative simulation budget allocation scheme for efficient simulation

Authors: Chun-Hung Chen, Enver Yucesan

Addresses: Department of Systems Engineering and Operations Research, George Mason University, 4400 University Drive, MS 4A6, Fairfax, VA 22030, USA. ' Technology Management Area, Insead, 77305 Fontainebleau, France

Abstract: We present an alternative simulation run allocation scheme for maximising efficiency in simulation experiments for decision making under uncertainty. The issue of simulation efficiency is addressed from two perspectives: we want to minimise the total computation cost, with a constraint that the overall simulation quality must be higher than a desired level; we would like to maximise the simulation quality with the constraint that the total computation cost can not exceed a given budget. While these two problems look different, we show that the solutions to these two problems are identical. Comparisons with other procedures show that our approach can achieve a speedup factor of 3∼4 for a 10-design example. The speedup factor is even higher for problems having a larger number of designs.

Keywords: simulation-based optimisation; decision making; uncertainty; simulation efficiency; simulation budget allocation; total computation cost; simulation quality.

DOI: 10.1504/IJSPM.2005.007113

International Journal of Simulation and Process Modelling, 2005 Vol.1 No.1/2, pp.49 - 57

Published online: 27 May 2005 *

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