research-article

Green Simulation: Reusing the Output of Repeated Experiments

Authors:

Jeremy StaumAuthors Info & Claims

ACM Transactions on Modeling and Computer Simulation (TOMACS), Volume 27, Issue 4

Article No.: 23, Pages 1 - 28

https://doi.org/10.1145/3129130

Published: 27 October 2017 Publication History

Abstract

We introduce a new paradigm in simulation experiment design and analysis, called “green simulation,” for the setting in which experiments are performed repeatedly with the same simulation model. Green simulation means reusing outputs from previous experiments to answer the question currently being asked of the simulation model. As one method for green simulation, we propose estimators that reuse outputs from previous experiments by weighting them with likelihood ratios, when parameters of distributions in the simulation model differ across experiments. We analyze convergence of these estimators as more experiments are repeated, while a stochastic process changes the parameters used in each experiment. As another method for green simulation, we propose an estimator based on stochastic kriging. We find that green simulation can reduce mean squared error by more than an order of magnitude in examples involving catastrophe bond pricing and credit risk evaluation.

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Cited By

Wu DWang YZhou E(2024)Data-Driven Ranking and Selection Under Input UncertaintyOperations Research10.1287/opre.2022.237572:2(781-795)Online publication date: 1-Mar-2024
https://dl.acm.org/doi/10.1287/opre.2022.2375
Feng BSong E(2024)Efficient Nested Simulation Experiment Design via the Likelihood Ratio MethodINFORMS Journal on Computing10.1287/ijoc.2022.0392Online publication date: 12-Jun-2024
https://doi.org/10.1287/ijoc.2022.0392
Li YKaplan ZNakayama M(2024)Monte Carlo Methods for Economic CapitalINFORMS Journal on Computing10.1287/ijoc.2021.026136:1(266-284)Online publication date: Jan-2024
https://doi.org/10.1287/ijoc.2021.0261
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Index Terms

Green Simulation: Reusing the Output of Repeated Experiments
1. Computing methodologies
  1. Modeling and simulation
    1. Model development and analysis
    2. Simulation types and techniques

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cover image ACM Transactions on Modeling and Computer Simulation

ACM Transactions on Modeling and Computer Simulation Volume 27, Issue 4

October 2017

158 pages

ISSN:1049-3301

EISSN:1558-1195

DOI:10.1145/3155315

Editor:
Adelinde M. Uhrmacher
University of Rostock, Germany

Issue’s Table of Contents

Copyright © 2017 ACM.

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Badge change: Article originally badged under Version 1.0 guidelines https://www.acm.org/publications/policies/artifact-review-badging

Publication History

Published: 27 October 2017

Accepted: 01 July 2017

Revised: 01 May 2017

Received: 01 October 2016

Published in TOMACS Volume 27, Issue 4

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Cited By

Wu DWang YZhou E(2024)Data-Driven Ranking and Selection Under Input UncertaintyOperations Research10.1287/opre.2022.237572:2(781-795)Online publication date: 1-Mar-2024
https://dl.acm.org/doi/10.1287/opre.2022.2375
Feng BSong E(2024)Efficient Nested Simulation Experiment Design via the Likelihood Ratio MethodINFORMS Journal on Computing10.1287/ijoc.2022.0392Online publication date: 12-Jun-2024
https://doi.org/10.1287/ijoc.2022.0392
Li YKaplan ZNakayama M(2024)Monte Carlo Methods for Economic CapitalINFORMS Journal on Computing10.1287/ijoc.2021.026136:1(266-284)Online publication date: Jan-2024
https://doi.org/10.1287/ijoc.2021.0261
Zhou YAndradóttir SKim S(2024)Selection of the Best in the Presence of Subjective Stochastic ConstraintsACM Transactions on Modeling and Computer Simulation10.1145/366481434:4(1-60)Online publication date: 12-Jul-2024
https://dl.acm.org/doi/10.1145/3664814
Chen QFeng M(2023)Generalized Importance Sampling for Nested SimulationProceedings of the Winter Simulation Conference10.5555/3643142.3643176(409-420)Online publication date: 10-Dec-2023
https://dl.acm.org/doi/10.5555/3643142.3643176
Konrad KLiu Y(2023)Achieving Stable Service-Level Targets in Time-Varying Queueing Systems: A Simulation-Based Offline Learning Staffing AlgorithmProceedings of the Winter Simulation Conference10.5555/3643142.3643169(327-338)Online publication date: 10-Dec-2023
https://dl.acm.org/doi/10.5555/3643142.3643169
Wilsdorf PWolpers AHilton JHaack FUhrmacher A(2023)Automatic Reuse, Adaption, and Execution of Simulation Experiments via Provenance PatternsACM Transactions on Modeling and Computer Simulation10.1145/356492833:1-2(1-27)Online publication date: 28-Feb-2023
https://dl.acm.org/doi/10.1145/3564928
Konrad KLiu Y(2023)Achieving Stable Service-Level Targets in Time-Varying Queueing Systems: A Simulation-Based Offline Learning Staffing Algorithm2023 Winter Simulation Conference (WSC)10.1109/WSC60868.2023.10408273(327-338)Online publication date: 10-Dec-2023
https://doi.org/10.1109/WSC60868.2023.10408273
Chen QBen Feng M(2023)Generalized Importance Sampling for Nested Simulation2023 Winter Simulation Conference (WSC)10.1109/WSC60868.2023.10408062(409-420)Online publication date: 10-Dec-2023
https://doi.org/10.1109/WSC60868.2023.10408062
Dang OFeng MHardy M(2023)Two-stage nested simulation of tail risk measurement: A likelihood ratio approachInsurance: Mathematics and Economics10.1016/j.insmatheco.2022.10.002108(1-24)Online publication date: Jan-2023
https://doi.org/10.1016/j.insmatheco.2022.10.002
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