74,066 research outputs found
Approximate IPA: Trading Unbiasedness for Simplicity
When Perturbation Analysis (PA) yields unbiased sensitivity estimators for
expected-value performance functions in discrete event dynamic systems, it can
be used for performance optimization of those functions. However, when PA is
known to be unbiased, the complexity of its estimators often does not scale
with the system's size. The purpose of this paper is to suggest an alternative
approach to optimization which balances precision with computing efforts by
trading off complicated, unbiased PA estimators for simple, biased approximate
estimators. Furthermore, we provide guidelines for developing such estimators,
that are largely based on the Stochastic Flow Modeling framework. We suggest
that if the relative error (or bias) is not too large, then optimization
algorithms such as stochastic approximation converge to a (local) minimum just
like in the case where no approximation is used. We apply this approach to an
example of balancing loss with buffer-cost in a finite-buffer queue, and prove
a crucial upper bound on the relative error. This paper presents the initial
study of the proposed approach, and we believe that if the idea gains traction
then it may lead to a significant expansion of the scope of PA in optimization
of discrete event systems.Comment: 8 pages, 8 figure
A comprehensive literature classification of simulation optimisation methods
Simulation Optimization (SO) provides a structured approach to the system design and configuration when analytical expressions for input/output relationships are unavailable. Several excellent surveys have been written on this topic. Each survey concentrates on only few classification criteria. This paper presents a literature survey with all classification criteria on techniques for SO according to the problem of characteristics such as shape of the response surface (global as compared to local optimization), objective functions (single or multiple objectives) and parameter spaces (discrete or continuous parameters). The survey focuses specifically on the SO problem that involves single per-formance measureSimulation Optimization, classification methods, literature survey
Event tracking for real-time unaware sensitivity analysis (EventTracker)
This is the author's accepted manuscript. The final published article is available from the link below. Copyright @ 2013 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works.This paper introduces a platform for online Sensitivity Analysis (SA) that is applicable in large scale real-time data acquisition (DAQ) systems. Here we use the term real-time in the context of a system that has to respond to externally generated input stimuli within a finite and specified period. Complex industrial systems such as manufacturing, healthcare, transport, and finance require high quality information on which to base timely responses to events occurring in their volatile environments. The motivation for the proposed EventTracker platform is the assumption that modern industrial systems are able to capture data in real-time and have the necessary technological flexibility to adjust to changing system requirements. The flexibility to adapt can only be assured if data is succinctly interpreted and translated into corrective actions in a timely manner. An important factor that facilitates data interpretation and information modelling is an appreciation of the affect system inputs have on each output at the time of occurrence. Many existing sensitivity analysis methods appear to hamper efficient and timely analysis due to a reliance on historical data, or sluggishness in providing a timely solution that would be of use in real-time applications. This inefficiency is further compounded by computational limitations and the complexity of some existing models. In dealing with real-time event driven systems, the underpinning logic of the proposed method is based on the assumption that in the vast majority of cases changes in input variables will trigger events. Every single or combination of events could subsequently result in a change to the system state. The proposed event tracking sensitivity analysis method describes variables and the system state as a collection of events. The higher the numeric occurrence of an input variable at the trigger level during an event monitoring interval, the greater is its impact on the final analysis of the system state. Experiments were designed to compare the proposed event tracking sensitivity analysis method with a comparable method (that of Entropy). An improvement of 10% in computational efficiency without loss in accuracy was observed. The comparison also showed that the time taken to perform the sensitivity analysis was 0.5% of that required when using the comparable Entropy based method.EPSR
A relative entropy rate method for path space sensitivity analysis of stationary complex stochastic dynamics
We propose a new sensitivity analysis methodology for complex stochastic
dynamics based on the Relative Entropy Rate. The method becomes computationally
feasible at the stationary regime of the process and involves the calculation
of suitable observables in path space for the Relative Entropy Rate and the
corresponding Fisher Information Matrix. The stationary regime is crucial for
stochastic dynamics and here allows us to address the sensitivity analysis of
complex systems, including examples of processes with complex landscapes that
exhibit metastability, non-reversible systems from a statistical mechanics
perspective, and high-dimensional, spatially distributed models. All these
systems exhibit, typically non-gaussian stationary probability distributions,
while in the case of high-dimensionality, histograms are impossible to
construct directly. Our proposed methods bypass these challenges relying on the
direct Monte Carlo simulation of rigorously derived observables for the
Relative Entropy Rate and Fisher Information in path space rather than on the
stationary probability distribution itself. We demonstrate the capabilities of
the proposed methodology by focusing here on two classes of problems: (a)
Langevin particle systems with either reversible (gradient) or non-reversible
(non-gradient) forcing, highlighting the ability of the method to carry out
sensitivity analysis in non-equilibrium systems; and, (b) spatially extended
Kinetic Monte Carlo models, showing that the method can handle high-dimensional
problems
Input variable selection in time-critical knowledge integration applications: A review, analysis, and recommendation paper
This is the post-print version of the final paper published in Advanced Engineering Informatics. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2013 Elsevier B.V.The purpose of this research is twofold: first, to undertake a thorough appraisal of existing Input Variable Selection (IVS) methods within the context of time-critical and computation resource-limited dimensionality reduction problems; second, to demonstrate improvements to, and the application of, a recently proposed time-critical sensitivity analysis method called EventTracker to an environment science industrial use-case, i.e., sub-surface drilling.
Producing time-critical accurate knowledge about the state of a system (effect) under computational and data acquisition (cause) constraints is a major challenge, especially if the knowledge required is critical to the system operation where the safety of operators or integrity of costly equipment is at stake. Understanding and interpreting, a chain of interrelated events, predicted or unpredicted, that may or may not result in a specific state of the system, is the core challenge of this research. The main objective is then to identify which set of input data signals has a significant impact on the set of system state information (i.e. output). Through a cause-effect analysis technique, the proposed technique supports the filtering of unsolicited data that can otherwise clog up the communication and computational capabilities of a standard supervisory control and data acquisition system.
The paper analyzes the performance of input variable selection techniques from a series of perspectives. It then expands the categorization and assessment of sensitivity analysis methods in a structured framework that takes into account the relationship between inputs and outputs, the nature of their time series, and the computational effort required. The outcome of this analysis is that established methods have a limited suitability for use by time-critical variable selection applications. By way of a geological drilling monitoring scenario, the suitability of the proposed EventTracker Sensitivity Analysis method for use in high volume and time critical input variable selection problems is demonstrated.E
The role of learning on industrial simulation design and analysis
The capability of modeling real-world system operations has turned simulation into an indispensable problemsolving methodology for business system design and analysis. Today, simulation supports decisions ranging
from sourcing to operations to finance, starting at the strategic level and proceeding towards tactical and
operational levels of decision-making. In such a dynamic setting, the practice of simulation goes beyond
being a static problem-solving exercise and requires integration with learning. This article discusses the role
of learning in simulation design and analysis motivated by the needs of industrial problems and describes
how selected tools of statistical learning can be utilized for this purpose
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