Sensitivity of computer simulation experiments to errors in input data

Cheng, Russell C.H. and Holland, Wayne S. (1995) Sensitivity of computer simulation experiments to errors in input data. In: Symposium on Theory and Applications of Sensitivity Analysis of Model Output in Computer Simulation (SAMO 95), September 25 - 27, 1995, Belgirate, Italy. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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This paper compares two methods of assessing variability in simulation output. The methods make specific allowance for two sources of variation: that caused by uncertainty in estimating unknown input parameters (parameter uncertainty), and that caused by the inclusion of random variation within the simulation model itself (simulation uncertainty). The first method is based on classical statistical differential analysis; we show explicitly that, under general conditions, the two sources contribute separately to the total variation. In the classical approach, certain sensitivity coefficients have to be estimated. The effort needed to do this becomes progressively more expensive, increasing linearly with the number of unknown parameters. Moreover there is an additional difficulty of detecting spurious variation when the number of parameters is large. It is shown that a parametric form of bootstrap sampling provides an alternative method which does not suffer from either problem. For illustration, simulation of the operation of a small (4-node) computer communication network is used to compare the accuracy of estimates using the two methods. A larger, more realistic, (30-node) network is presented showing how the bootstrap method becomes competitive when the number of unknown parameters is large.

Item Type: Conference or workshop item (Paper)
Uncontrolled keywords: bootstrap methods; parameter estimation; sensitivity analysis; simulation of computer networks
Depositing User: T. Nasir
Date Deposited: 26 Oct 2009 13:40
Last Modified: 29 Apr 2014 08:23
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