Indirect estimation of cycle time quantiles from discrete event simulation models using the cornish-fisher expansion

Jennifer Bekki, Gerald T. Mackulak, John Fowler

Research output: Chapter in Book/Report/Conference proceedingConference contribution

13 Citations (Scopus)

Abstract

This paper introduces a new technique for estimating cycle time quantiles from discrete event simulation models run at a single traffic intensity. The Cornish-Fisher expansion is used as a vehicle for this approximation, and it is shown that for an M/M/1 system and a full factory simulation model, the technique provides accurate results with low variability for the most commonly estimated quantiles without requiring unreasonable sample sizes. Additionally, the technique provides the advantages of being easy to implement and providing multiple cycle time quantiles from a single set of simulation runs.

Original languageEnglish (US)
Title of host publicationWinter Simulation Conference Proceedings
EditorsS.E. Chick, P.J. Sanchez, D. Ferrin, D.J. Morrice
Pages1377-1382
Number of pages6
Volume2
StatePublished - 2003
EventProceedings of the 2003 Simulation Conference: Driving Innovation - New Orleans, LA, United States
Duration: Dec 7 2003Dec 10 2003

Other

OtherProceedings of the 2003 Simulation Conference: Driving Innovation
CountryUnited States
CityNew Orleans, LA
Period12/7/0312/10/03

Fingerprint

Cornish-Fisher Expansion
Discrete event simulation
Discrete Event Simulation
Quantile
Simulation Model
Industrial plants
Sample Size
Traffic
Approximation
Simulation

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Chemical Health and Safety
  • Applied Mathematics

Cite this

Bekki, J., Mackulak, G. T., & Fowler, J. (2003). Indirect estimation of cycle time quantiles from discrete event simulation models using the cornish-fisher expansion. In S. E. Chick, P. J. Sanchez, D. Ferrin, & D. J. Morrice (Eds.), Winter Simulation Conference Proceedings (Vol. 2, pp. 1377-1382)

Indirect estimation of cycle time quantiles from discrete event simulation models using the cornish-fisher expansion. / Bekki, Jennifer; Mackulak, Gerald T.; Fowler, John.

Winter Simulation Conference Proceedings. ed. / S.E. Chick; P.J. Sanchez; D. Ferrin; D.J. Morrice. Vol. 2 2003. p. 1377-1382.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Bekki, J, Mackulak, GT & Fowler, J 2003, Indirect estimation of cycle time quantiles from discrete event simulation models using the cornish-fisher expansion. in SE Chick, PJ Sanchez, D Ferrin & DJ Morrice (eds), Winter Simulation Conference Proceedings. vol. 2, pp. 1377-1382, Proceedings of the 2003 Simulation Conference: Driving Innovation, New Orleans, LA, United States, 12/7/03.
Bekki J, Mackulak GT, Fowler J. Indirect estimation of cycle time quantiles from discrete event simulation models using the cornish-fisher expansion. In Chick SE, Sanchez PJ, Ferrin D, Morrice DJ, editors, Winter Simulation Conference Proceedings. Vol. 2. 2003. p. 1377-1382
Bekki, Jennifer ; Mackulak, Gerald T. ; Fowler, John. / Indirect estimation of cycle time quantiles from discrete event simulation models using the cornish-fisher expansion. Winter Simulation Conference Proceedings. editor / S.E. Chick ; P.J. Sanchez ; D. Ferrin ; D.J. Morrice. Vol. 2 2003. pp. 1377-1382
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