Experimental Design for Sensitivity Analysis, Optimization and Validation of Simulation Models

This chapter gives a survey on the use of statistical designs for what-if analysis in simula- tion, including sensitivity analysis, optimization, and validation/verification. Sensitivity analysis is divided into two phases. The first phase is a pilot stage, which consists of screening or searching for the important factors among (say) hundreds of potentially important factors. A novel screening technique is presented, namely sequential bifurcation. The second phase uses regression analysis to approximate the input/output transformation that is implied by the simulation model; the resulting regression model is also known as a metamodel or a response surface. Regression analysis gives better results when the simu- lation experiment is well designed, using either classical statistical designs (such as frac- tional factorials) or optimal designs (such as pioneered by Fedorov, Kiefer, and Wolfo- witz). To optimize the simulated system, the analysts may apply Response Surface Metho- dology (RSM); RSM combines regression analysis, statistical designs, and steepest-ascent hill-climbing. To validate a simulation model, again regression analysis and statistical designs may be applied. Several numerical examples and case-studies illustrate how statisti- cal techniques can reduce the ad hoc character of simulation; that is, these statistical techniques can make simulation studies give more general results, in less time. Appendix 1 summarizes confidence intervals for expected values, proportions, and quantiles, in termi- nating and steady-state simulations. Appendix 2 gives details on four variance reduction techniques, namely common pseudorandom numbers, antithetic numbers, control variates or regression sampling, and importance sampling. Appendix 3 describes jackknifing, which may give robust confidence intervals.least squares;distribution-free;non-parametric;stopping rule;run-length;Von Neumann;median;seed;likelihood ratio

Local antithetic sampling with scrambled nets

We consider the problem of computing an approximation to the integral $I=\int_{[0,1]^d}f(x) dx$. Monte Carlo (MC) sampling typically attains a root mean squared error (RMSE) of $O(n^{-1/2})$ from $n$ independent random function evaluations. By contrast, quasi-Monte Carlo (QMC) sampling using carefully equispaced evaluation points can attain the rate $O(n^{-1+\varepsilon})$ for any $\varepsilon>0$ and randomized QMC (RQMC) can attain the RMSE $O(n^{-3/2+\varepsilon})$, both under mild conditions on $f$. Classical variance reduction methods for MC can be adapted to QMC. Published results combining QMC with importance sampling and with control variates have found worthwhile improvements, but no change in the error rate. This paper extends the classical variance reduction method of antithetic sampling and combines it with RQMC. One such method is shown to bring a modest improvement in the RMSE rate, attaining $O(n^{-3/2-1/d+\varepsilon})$ for any $\varepsilon>0$, for smooth enough $f$.Comment: Published in at http://dx.doi.org/10.1214/07-AOS548 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

The role of statistical methodology in simulation

statistical methods;simulation;operations research

On efficient simulation in dynamic models

Ways of improving the efficiency of Monte-Carlo (MC) techniques are studied for dynamic models. Such models cause the conventional Antithetic Variate (AV) technique to fail, and will be proved to reduce the benefit from using Control Variates with nearly nonstationary series. This paper suggests modifications of the two conventional variance reduction techniques to enhance their efficiency. New classes of AVs are also proposed. Methods of reordering innovations are found to do less well than others which rely on changing some signs in the spirit of the traditional AV. Numerical and analytical calculations are given to investigate the features of the proposed techniques. JEL classification code: C15 Key words: Dynamic models, Monte-Carlo (MC), Variance Reduction Technique (VRT), Antithetic Variate (AV), Control Variate (CV), Efficiency Gain (EG), Response Surface (RS).

Design and analysis of genetic feedback architectures for synthetic biology

Synthetic Biology seeks to design and assemble novel biological systems with favourable properties. It allows us to comprehend and modify the fundamental mechanisms of life and holds significant promise in revolutionizing current technologies ranging from medicine and biomanufacturing to energy and environmental protection. Biological processes constitute remarkably complex dynamical systems operating impeccably well in messy and constantly changing environments. Their ability to do so is rooted in sophisticated molecular control architectures crafted by natural evolutionary innovation over billions of years. Such control architectures, often blended with human-engineering approaches, are the key to realizing efficient and reliable synthetic biological systems. Aiming to accelerate the development of the latter, the present thesis addresses some fundamental challenges in biomolecular systems and control design. We begin by elucidating biological mechanisms of temporal gradient computation, enabling cells to adjust their behaviour in response to anticipated environmental changes. Specifically, we introduce biomolecular motifs capable of functioning as highly tunable and accurate signal differentiators to input molecular signals around their nominal operation. We investigate strategies to deal with high-frequency input signal components which can be detrimental to the performance of most differentiators. We ascertain the occurrence of such motifs in natural regulatory networks and demonstrate the potential of synthetic experimental realizations. Our motifs can serve as reliable speed biosensors and can form the basis for derivative feedback control. Motivated by the pervasiveness of Proportional-Integral-Derivative (PID) controllers in modern technological applications, we present the realization of a PID controller via biomolecular reactions employing, among others, our differentiator motifs. This biomolecular architecture represents a PID control law with set point weighting and filtered derivative action, offering robust regulation of a single-output biological process with enhanced dynamic performance and low levels of stochastic noise. It is characterized by significant ease of tuning and can be of particular experimental interest in molecular programming applications. Finally, we investigate efficient regulation strategies for multi-output biological processes with internal coupling interactions, expanding previously established single-output control approaches. More specifically, we propose control schemes allowing for robust manipulation of the outputs in various ways, namely manipulation of their product/ratio, linear combinations of them as well as manipulation of each of the outputs independently. Our analysis is centered around two-output biological processes, yet the scalability of the proposed regulation strategies to processes with a higher number of outputs is highlighted. In parallel, their experimental implementability is explored in both in vivo and in vitro settings

Monte Carlo techniques for filtering and prediction of nonlinear stochastic processes

Imperial Users onl