IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/e7680883-7f29-4452-9533-662a0738b7ed.html
   My bibliography  Save this paper

Methodology for determining the acceptability of system designs in uncertain environments

Author

Listed:
  • Kleijnen, Jack P.C.

    (Tilburg University, School of Economics and Management)

  • Pierreval, H.
  • Zhang, J.

Abstract

In practice, managers often wish to ascertain that a particular engineering design of a production system meets their requirements. The future environment of this design is likely to differ from the environment assumed during the design. Therefore it is crucial to find out which variations in that environment may make this design unacceptable (unfeasible). This article proposes a methodology for estimating which uncertain environmental parameters are important (so managers can become pro-active) and which combinations of parameter values (scenarios) make the design unacceptable. The proposed methodology combines simulation, bootstrapping, design of experiments, and linear regression metamodeling. This methodology is illustrated through a simulated manufacturing system, including fourteen uncertain parameters of the input distributions for the various arrival and service times. These parameters are investigated through the simulation of sixteen scenarios, selected through a two-level fractional-factorial statistical design. The resulting simulation Input/Output (I/O) data are analyzed through a first-order polynomial metamodel and bootstrapping. A second experiment with other scenarios gives some outputs that turn out to be unacceptable. In general, polynomials fitted to the simulation's I/O data can estimate the border line (frontier) between acceptable and unacceptable environments.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Kleijnen, Jack P.C. & Pierreval, H. & Zhang, J., 2011. "Methodology for determining the acceptability of system designs in uncertain environments," Other publications TiSEM e7680883-7f29-4452-9533-6, Tilburg University, School of Economics and Management.
  • Handle: RePEc:tiu:tiutis:e7680883-7f29-4452-9533-662a0738b7ed
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1267235/Online_Appendix_Kleijnen_Pierreval_Zhang_20_May_2010.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kleijnen, Jack P.C. & Deflandre, David, 2006. "Validation of regression metamodels in simulation: Bootstrap approach," European Journal of Operational Research, Elsevier, vol. 170(1), pages 120-131, April.
    2. Geng, Na & Jiang, Zhibin & Chen, Feng, 2009. "Stochastic programming based capacity planning for semiconductor wafer fab with uncertain demand and capacity," European Journal of Operational Research, Elsevier, vol. 198(3), pages 899-908, November.
    3. Dellino, Gabriella & Kleijnen, Jack P.C. & Meloni, Carlo, 2010. "Robust optimization in simulation: Taguchi and Response Surface Methodology," International Journal of Production Economics, Elsevier, vol. 125(1), pages 52-59, May.
    4. Jack P.C. Kleijnen, 2015. "Design and Analysis of Simulation Experiments," International Series in Operations Research and Management Science, Springer, edition 2, number 978-3-319-18087-8, December.
    5. Batur, D. & Choobineh, F., 2010. "A quantile-based approach to system selection," European Journal of Operational Research, Elsevier, vol. 202(3), pages 764-772, May.
    6. Pierreval, Henri & Durieux-Paris, Severine, 2007. "Robust simulation with a base environmental scenario," European Journal of Operational Research, Elsevier, vol. 182(2), pages 783-793, October.
    7. Michael C. Fu & L. Jeff Hong & Jian-Qiang Hu, 2009. "Conditional Monte Carlo Estimation of Quantile Sensitivities," Management Science, INFORMS, vol. 55(12), pages 2019-2027, December.
    8. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wen Shi & Xi Chen & Jennifer Shang, 2019. "An Efficient Morris Method-Based Framework for Simulation Factor Screening," INFORMS Journal on Computing, INFORMS, vol. 31(4), pages 745-770, October.
    2. Kleijnen, Jack P.C., 2017. "Regression and Kriging metamodels with their experimental designs in simulation: A review," European Journal of Operational Research, Elsevier, vol. 256(1), pages 1-16.
    3. Strang, Kenneth David, 2012. "Importance of verifying queue model assumptions before planning with simulation software," European Journal of Operational Research, Elsevier, vol. 218(2), pages 493-504.
    4. Borgonovo, E. & Smith, C.L., 2012. "Composite multilinearity, epistemic uncertainty and risk achievement worth," European Journal of Operational Research, Elsevier, vol. 222(2), pages 301-311.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. J P C Kleijnen & W C M van Beers, 2013. "Monotonicity-preserving bootstrapped Kriging metamodels for expensive simulations," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(5), pages 708-717, May.
    2. Kleijnen, Jack P.C., 2013. "Simulation-Optimization via Kriging and Bootstrapping : A Survey (Revision of CentER DP 2011-064)," Discussion Paper 2013-064, Tilburg University, Center for Economic Research.
    3. Kleijnen, Jack P.C. & Pierreval, H. & Zhang, J., 2009. "When is the design of a manufacturing system acceptable in the presence of uncertainty?," Other publications TiSEM 58fba7c4-8fd2-44d4-8ec3-f, Tilburg University, School of Economics and Management.
    4. Shi, Wen & Liu, Zhixue & Shang, Jennifer & Cui, Yujia, 2013. "Multi-criteria robust design of a JIT-based cross-docking distribution center for an auto parts supply chain," European Journal of Operational Research, Elsevier, vol. 229(3), pages 695-706.
    5. Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
    6. Dellino, Gabriella & Kleijnen, Jack P.C. & Meloni, Carlo, 2010. "Robust optimization in simulation: Taguchi and Response Surface Methodology," International Journal of Production Economics, Elsevier, vol. 125(1), pages 52-59, May.
    7. Mohamed A. Ayadi & Hatem Ben-Ameur & Nabil Channouf & Quang Khoi Tran, 2019. "NORTA for portfolio credit risk," Annals of Operations Research, Springer, vol. 281(1), pages 99-119, October.
    8. Kleijnen, J.P.C., 2008. "Design of Experiments : An Overview," Discussion Paper 2008-70, Tilburg University, Center for Economic Research.
    9. Kleijnen, Jack P.C., 2017. "Regression and Kriging metamodels with their experimental designs in simulation: A review," European Journal of Operational Research, Elsevier, vol. 256(1), pages 1-16.
    10. Andreas Tsanakas & Pietro Millossovich, 2016. "Sensitivity Analysis Using Risk Measures," Risk Analysis, John Wiley & Sons, vol. 36(1), pages 30-48, January.
    11. Miranda, Rafael de Carvalho & Montevechi, José Arnaldo Barra & da Silva, Aneirson Francisco & Marins, Fernando Augusto Silva, 2017. "Increasing the efficiency in integer simulation optimization: Reducing the search space through data envelopment analysis and orthogonal arrays," European Journal of Operational Research, Elsevier, vol. 262(2), pages 673-681.
    12. L. Jeff Hong & Sandeep Juneja & Jun Luo, 2014. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(4), pages 848-865, November.
    13. Chang, Kuo-Hao, 2015. "A direct search method for unconstrained quantile-based simulation optimization," European Journal of Operational Research, Elsevier, vol. 246(2), pages 487-495.
    14. Kleijnen, Jack P.C. & van Schaik, Frans D.J., 2011. "Sealed-bid auction of Netherlands mussels: Statistical analysis," International Journal of Production Economics, Elsevier, vol. 132(1), pages 154-161, July.
    15. Kellner, Ralf & Rösch, Daniel, 2016. "Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk," Journal of Economic Dynamics and Control, Elsevier, vol. 68(C), pages 45-63.
    16. Gabriella Dellino & Jack P. C. Kleijnen & Carlo Meloni, 2012. "Robust Optimization in Simulation: Taguchi and Krige Combined," INFORMS Journal on Computing, INFORMS, vol. 24(3), pages 471-484, August.
    17. Zhang, Wei & (Ato) Xu, Wangtu, 2017. "Simulation-based robust optimization for the schedule of single-direction bus transit route: The design of experiment," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 106(C), pages 203-230.
    18. Xi Chen & Kyoung-Kuk Kim, 2016. "Efficient VaR and CVaR Measurement via Stochastic Kriging," INFORMS Journal on Computing, INFORMS, vol. 28(4), pages 629-644, November.
    19. Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing, 2024. "Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 132-150.
    20. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:e7680883-7f29-4452-9533-662a0738b7ed. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.