Single-experiment input uncertainty

Y Lin, E Song and B L Nelson

Journal of Simulation, 2015, vol. 9, issue 3, 249-259

Abstract: ‘Input uncertainty’ refers to the simulation model risk caused by estimating input distributions from real-world data, and specifically the (usually unmeasured) variance in performance estimates that this introduces. We provide the first single-run method for quantifying input uncertainty, meaning that we derive our measure of input-uncertainty variance—both overall variance and the contribution to it of each input model—from the nominal experiment that the analyst would typically run using the estimated input models; other methods in the literature require additional diagnostic experiments. Application of our method is illustrated with two examples.

Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1057/jos.2015.2

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