Confidence interval methods in discrete event computer simulation: Theoretical properties and practical recommendations.

Most of steady state simulation outputs are characterized by some degree of dependency between successive observations at different lags measured by the autocorrelation function. In such cases, classical statistical techniques based on independent, identical and normal random variables are not recommended in the construction of confidence intervals for steady state means. Such confidence intervals would cover the steady state mean with probability different from the nominal confidence level. For the last two decades, alternative confidence interval methods have been proposed for stationary simulation output processes. These methods offer different ways to estimate the variance of the sample mean with final objective of achieving coverages equal to the nominal confidence level. Each sample mean variance estimator depends on a number of different parameters and the sample size. In assessing the performance of the confidence interval methods, emphasis is necessarily placed on studying the actual properties of the methods in an empirical context rather than proving their mathematical properties. The testing process takes place in the context of an environment where certain statistical criteria, which measure the actual properties, are estimated through Monte Carlo methods on output processes from different types of simulation models. Over the past years, however, different testing environments have been used. Different methods have been tested on different output processes under different sample sizes and parameter values for the sample mean variance estimators. The diversity of the testing environments has made it difficult to select the most appropriate confidence interval method for certain types of output processes. Moreover, a catalogue of the properties of the confidence interval methods offers limited direct support to a simulation practitioner seeking to apply the methods to particular processes. Five confidence interval methods are considered in this thesis. Two of them were proposed in the last decade. The other three appeared in the literature in 1983 and 1984 and constitute the recent research objects for the statistical experts in simulation output analysis. First, for the case of small samples, theoretical properties are investigated for the bias of the corresponding sample mean variance estimators on AR(1) and AR(2) time series models and the delay in queue in the M/M/1 queueing system. Then an asymptotic comparison for these five methods is carried out. The special characteristic of the above three processes is that the 5th lag autocorrelation coefficient is given by known difference equations. Based on the asymptotic results and the properties of the sample mean variance estimators in small samples, several recommendations are given in making the following decisions: I) The selection of the most appropriate confidence interval method for certain types of simulation outputs. II) The determination of the best parameter values for the sample mean variance estimators so that the corresponding confidence interval methods achieve acceptable performances. III) The orientation of the future research in confidence interval estimation for steady state autocorrelated simulation outputs

An object oriented/DEVS framework for strategic modelling and industry simulation

The use of simulation modelling for the development of business strategy models, at an industry level, focusing on the exploration of different scenarios and future policy, has been gaining increased acceptance and popularity over the last decade. This thesis develops a modelling and simulation framework for industry simulation, extending the approach of System Dynamics, by integrating recent concepts from software engineering and mathematical formalisms for discrete event system modelling. The current modelling view of industry simulation, based on System Dynamics, is reviewed. A critique of the capabilities of System Dynamics is presented, regarding the ability of the System Dynamics core technology to address the broad requirements of industry modelling. We focus the critique and develop a research agenda around the issues of natural model building, model structure and focus, model reusability and time representation. An overview of manufacturing simulation and the research directions in that area, is presented with the objective of identifying possible areas of cross-fertilization which can be used in modelling at the industry level in a more effective way. A review of Object Orientation is presented, along with a general review of mathematical formalisms for the description of discrete event systems, with particular focus on the Discrete Event System Specification formalism (DEVS) [Zeigler (1976, 1984)]. An innovative synthesis of Object Orientation and DEVS is proposed in order to address the research questions which resulted from our critique of System Dynamics. A Smalltalk implementation of the concepts supported by the synthesis, called OO/DEVS, has been developed. Using as a point of reference the requirements of industry simulation, we build upon a critique of previous DEVS implementations (placed within the manufacturing simulation problem domain), by presenting an innovative implementation view of DEVS, which exploits fully the concepts supported by Object Orientation. The issues related to graphical model specification within OO/DEVS, and its comparison to the modem System Dynamics graphical user interfaces, are explored. A OO/DEVS Graphical User Interface and its implementation are explored and presented. Two case studies have been employed, in order to test the capabilities of OO/DEVS as an alternative to System Dynamics, as well as to demonstrate the modelling characteristics of the framework and its implementation. A comparative study is presented, where a capacity investment model of the postprivatised UK Electricity Industry is developed in both frameworks. The model is used as a vehicle for assessing the modelling characteristics of OO/DEVS versus System Dynamics. Our initial conclusion is that the modelling properties of OO/DEVS can address at a sufficient level the research issues related to the System Dynamics core technology. Finally, a large scale modelling case study is carried out, within one of the UK Electricity Distribution companies, where a OO/DEVS model of the Electricity Markets is developed jointly with a management team. This real application establishes the value of OO/DEVS, and its modelling characteristics, as a powerful platform for building decision support industry models

A graphics driven approach to discrete event simulation.

This thesis investigates the potential of computer graphics in providing for a graphics driven specification system that gives sufficient structure and content to form the simulation model itself. The nature of discrete event simulation modelling, the diagramming method of activity cycle diagrams which underpinned this research, the three phase simulation model structure, and the trend of visual simulation modelling are discussed as the basis for the research. Some current existing simulation languages and packages are reviewed, which gives insight into the essential features of an ideal computer simulation environment. The basic research method adopted was to build systems that exemplified the state of thinking at the time. The purpose of this method was to enable ideas to be developed, discarded and enhanced, and for new ideas to emerge. The research has undergone a series of application developments on the Apple Macintosh to examine the advantages and limitations of such systems. The first system developed during the research, MacACD, provides the basis for proposals concerning the enhancement of the ACD diagramming method in a computer-aided environment. However, MacACD demonstrated the limitations of an ACD interface and the need for a more flexible specification system. HyperSim, a simulation system developed using HyperCard, has all the power of interconnectivity demonstrated as a need by MacACD, but has severe limitations both in terms of security of system development, and an inability to provide a running model directly due to lack of speed. However, the power of an icon-based interconnected textual and diagrammatic based system were demonstrated by the construction of this system during this research, and led to the development of the final system described in this thesis : MacGraSE. The development of this system during this research incorporates many innovations. The main input device is a picture representing the problem, including a background display. This system allows for dynamic icon based visual model running, as well as code generation for complete model embellishments, interactive report writing, and representational graphics outputs