Computer Science, Informatik 4 Communication and Distributed Systems Simulation Simulation Modeling and Performance Analysis with Discrete-Event Simulation g y Dr. Mesut Güneş
Computer Science, Informatik 4 Communication and Distributed Systems Chapter 11 Output Analysis for a Single Model
Computer Science, Informatik 4 Communication and Distributed Systems Contents Contents Types of Simulation yp � Stochastic Nature of Output Data � Measures of Performance � Output Analysis for Terminating Simulations � Output Analysis for Steady-state Simulations � Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 3
Computer Science, Informatik 4 Communication and Distributed Systems Purpose Purpose Objective: Estimate system performance via simulation j y p � If θ is the system performance, the precision of the estimator can θ ˆ � be measured by: • The standard error of The standard error of . θ θ ˆ • The width of a confidence interval (CI) for θ . Purpose of statistical analysis: � • T To estimate the standard error or confidence interval . ti t th t d d fid i t l • To figure out the number of observations required to achieve a desired error or confidence interval. P t Potential issues to overcome: ti l i t � • Autocorrelation, e.g. inventory cost for subsequent weeks lack statistical independence. • I iti l Initial conditions, e.g. inventory on hand and number of backorders at diti i t h d d b f b k d t time 0 would most likely influence the performance of week 1. Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 4
Computer Science, Informatik 4 Communication and Distributed Systems Types of Simulations Types of Simulations Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 5
Computer Science, Informatik 4 Communication and Distributed Systems Types of Simulations Types of Simulations Distinguish the two types of simulation: Distinguish the two types of simulation: � • transient vs. • steady state Illustrate the inherent variability in a stochastic discrete-event � simulation. Cover the statistical estimation of performance measures. Cover the statistical estimation of performance measures. � Discusses the analysis of transient simulations. � Discusses the analysis of steady-state simulations. � Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 6
Computer Science, Informatik 4 Communication and Distributed Systems Types of Simulations Types of Simulations Terminating versus non-terminating simulations Terminating versus non terminating simulations � Terminating simulation: � • Runs for some duration of time T E , where E is a specified event that stops the simulation. • Starts at time 0 under well-specified initial conditions. p • Ends at the stopping time T E . • Bank example: Opens at 8:30 am (time 0) with no customers present and 8 of the 11 teller working (initial conditions) and closes at 4:30 pm and 8 of the 11 teller working (initial conditions), and closes at 4:30 pm (Time T E = 480 minutes). • The simulation analyst chooses to consider it a terminating system because the object of interest is one day’s operation because the object of interest is one day s operation. T E may be known from the beginning or it may not • Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 7
Computer Science, Informatik 4 Communication and Distributed Systems Types of Simulations Types of Simulations Non-terminating simulation: Non terminating simulation: � • Runs continuously, or at least over a very long period of time. • Examples: assembly lines that shut down infrequently, hospital emergency rooms telephone systems network of routers Internet emergency rooms, telephone systems, network of routers, Internet. • Initial conditions defined by the analyst. • Runs for some analyst-specified period of time T E . • Study the steady-state (long-run) properties of the system, properties that are not influenced by the initial conditions of the model. Whether a simulation is considered to be terminating or non- � terminating depends on both • Th The objectives of the simulation study and bj ti f th i l ti t d d • The nature of the system Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 8
Computer Science, Informatik 4 Communication and Distributed Systems Stochastic Nature of Output Data Stochastic Nature of Output Data Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 9
Computer Science, Informatik 4 Communication and Distributed Systems Stochastic Nature of Output Data Stochastic Nature of Output Data Model output consist of one or more random variables because the Model output consist of one or more random variables because the � model is an input-output transformation and the input variables are random variables. M/G/1 queueing example: � • Poisson arrival rate = 0.1 per minute and p service time ~ N ( μ = 9.5, σ =1.75) . • System performance: long-run mean queue length, L Q ( t ) . • • Suppose we run a single simulation for a total of 5000 minutes Suppose we run a single simulation for a total of 5000 minutes - Divide the time interval [0, 5000) into 5 equal subintervals of 1000 minutes. - Average number of customers in queue from time ( j -1)1000 to j (1000) is Y j . λ ρ 2 2 = = = = L L ( ) μ μ − λ − ρ Q 1 Waiting line Server Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 10
Computer Science, Informatik 4 Communication and Distributed Systems Stochastic Nature of Output Data Stochastic Nature of Output Data M/G/1 queueing example (cont.): M/G/1 queueing example (cont.): � • Batched average queue length for 3 independent replications: Replication Batching Interval (minutes) Batch, j 1, Y 1j 2, Y 2j 3, Y 3j [0, 1000) 1 3.61 2.91 7.67 [1000, 2000) 2 3.21 9.00 19.53 [2000, 3000) 3 2.18 16.15 20.36 [3000, 4000) 4 6.92 24.53 8.11 [4000, 5000) 5 2.82 25.19 12.62 [0, 5000) 3.75 15.56 13.66 • Inherent variability in stochastic simulation both within a single replication and across different replications. • The average across 3 replications, can be regarded as Y , Y , Y , 1 2 . 3 . . independent observations, but averages within a replication, Y 11 , …, Y 15 , are not. Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 11
Computer Science, Informatik 4 Communication and Distributed Systems Measures of performance Measures of performance Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 12
Computer Science, Informatik 4 Communication and Distributed Systems Measures of performance Measures of performance Consider the estimation of a performance parameter, θ (or φ ), of a Consider the estimation of a performance parameter, θ (or φ ), of a � simulated system. • Discrete time data: [ Y 1 , Y 2 , …, Y n ] , with ordinary mean: θ • Continuous-time data: { Y ( t ) , 0 ≤ t ≤ T E } with time-weighted mean: φ C ti ti d t ith ti i ht d { Y ( ) 0 ≤ ≤ T } φ Point estimation for discrete time data. Point estimation for discrete time data. � • The point estimator: n 1 ∑ ∑ θ θ ˆ = = Y Y i n = i 1 θ = ˆ θ - Is unbiased if its expected value is θ , that is if: E ( ) Desired - Is biased if: and is called bias of θ ≠ ˆ θ θ − θ θ ˆ ˆ ( ) E E ( ) Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 13
Computer Science, Informatik 4 Communication and Distributed Systems Point Estimator Point Estimator Point estimation for continuous-time data. Point estimation for continuous time data. � • The point estimator: 1 ∫ ∫ T φ φ = ˆ E Y Y ( ( t t ) ) dt dt T 0 E φ ≠ φ ˆ - Is biased in general where: . ( ) E - An unbiased or low-bias estimator is desired. Usually, system performance measures can be put into the common � framework of θ or φ: • E Example: The proportion of days on which sales are lost through an out- l Th ti f d hi h l l t th h t of-stock situation, let: ⎧ 1 , if out of stock on day i = ⎨ ⎨ Y Y ( i ( i ) ) ⎩ 0 , otherwise Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 14
Computer Science, Informatik 4 Communication and Distributed Systems Point Estimator Point Estimator Performance measure that does not fit: Performance measure that does not fit: � quantile or percentile: ≤ ) θ = P ( Y p • Estimating quantiles: the inverse of the problem of estimating a proportion or probability or probability. • Consider a histogram of the observed values Y : - Find such that 100 p % of the histogram is to the left of (smaller than) . θ ˆ θ ˆ • A widely used performance measure is the median, which is the 0.5 quantile or 50-th percentile. Dr. Mesut Güneş Chapter 11. Output Analysis for a Single Model 15
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