Sensitivity Analysis of Simulation Models

This contribution presents an overview of sensitivity analysis of simulation models, including the estimation of gradients. It covers classic designs and their corresponding (meta)models; namely, resolution-III designs including fractional-factorial two-level designs for first-order polynomial metamodels, resolution-IV and resolution-V designs for metamodels augmented with two-factor interactions, and designs for second-degree polynomial metamodels including central composite designs. It also reviews factor screening for simulation models with very many factors, focusing on the so-called "sequential bifurcation" method. Furthermore, it reviews Kriging metamodels and their designs. It mentions that sensitivity analysis may also aim at the optimization of the simulated system, allowing multiple random simulation outputs.simulation;sensitivity analysis;gradients;screening;Kriging;optimization;Response SurfaceMethodology;Taguchi

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

Regression Models and Experimental Designs: A Tutorial for Simulation Analaysts

This tutorial explains the basics of linear regression models. especially low-order polynomials. and the corresponding statistical designs. namely, designs of resolution III, IV, V, and Central Composite Designs (CCDs).This tutorial assumes 'white noise', which means that the residuals of the fitted linear regression model are normally, independently, and identically distributed with zero mean.The tutorial gathers statistical results that are scattered throughout the literature on mathematical statistics, and presents these results in a form that is understandable to simulation analysts.metamodels;fractional factorial designs;Plackett-Burman designs;factor interactions;validation;cross-validation

Comparison of Gaussian process modeling software

Gaussian process fitting, or kriging, is often used to create a model from a set of data. Many available software packages do this, but we show that very different results can be obtained from different packages even when using the same data and model. We describe the parameterization, features, and optimization used by eight different fitting packages that run on four different platforms. We then compare these eight packages using various data functions and data sets, revealing that there are stark differences between the packages. In addition to comparing the prediction accuracy, the predictive variance--which is important for evaluating precision of predictions and is often used in stopping criteria--is also evaluated

Design of Experiments: An Overview

Design Of Experiments (DOE) is needed for experiments with real-life systems, and with either deterministic or random simulation models. This contribution discusses the different types of DOE for these three domains, but focusses on random simulation. DOE may have two goals: sensitivity analysis including factor screening and optimization. This contribution starts with classic DOE including 2k-p and Central Composite designs. Next, it discusses factor screening through Sequential Bifurcation. Then it discusses Kriging including Latin Hyper cube Sampling and sequential designs. It ends with optimization through Generalized Response Surface Methodology and Kriging combined with Mathematical Programming, including Taguchian robust optimization.simulation;sensitivity analysis;optimization;factor screening;Kriging;RSM;Taguchi

Aerodynamic Optimization of High-Speed Trains Nose using a Genetic Algorithm and Artificial Neural Network

An aerodynamic optimization of the train aerodynamic characteristics in term of front wind action sensitivity is carried out in this paper. In particular, a genetic algorithm (GA) is used to perform a shape optimization study of a high-speed train nose. The nose is parametrically defined via Bézier Curves, including a wider range of geometries in the design space as possible optimal solutions. Using a GA, the main disadvantage to deal with is the large number of evaluations need before finding such optimal. Here it is proposed the use of metamodels to replace Navier-Stokes solver. Among all the posibilities, Rsponse Surface Models and Artificial Neural Networks (ANN) are considered. Best results of prediction and generalization are obtained with ANN and those are applied in GA code. The paper shows the feasibility of using GA in combination with ANN for this problem, and solutions achieved are included