Generation of simulation input scenarios using bootstrap methods

O F Demirel () and T R Willemain
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O F Demirel: Rensselaer Polytechnic Institute
T R Willemain: Rensselaer Polytechnic Institute

Journal of the Operational Research Society, 2002, vol. 53, issue 1, 69-78

Abstract: Abstract Simulation modellers frequently face a choice between fidelity and variety in their input scenarios. Using an historical trace provides only one realistic scenario. Using the input modelling facilities in commercial simulation software may provide any number of unrealistic scenarios. We ease this dilemma by developing a way to use the moving blocks bootstrap to convert a single trace into an unlimited number of realistic input scenarios. We do this by setting the bootstrap block size to make the bootstrap samples mimic independent realizations in terms of the distribution of distance between pairs of inputs. We measure distance using a new statistic computed from zero crossings. We estimate the best block size by scaling up an estimate computed by analysing subseries of the trace.

Keywords: simulation; statistics (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (7)

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DOI: 10.1057/palgrave.jors.2601251

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