Characterising the convergence of a stochastic simulation model using the bootstrap method
Characterising the convergence of a stochastic simulation model using the bootstrap method
Accepting that all models are wrong, whilst some are useful (G.E.P. Box), this paper will describe how the bootstrap technique has been applied to forecasting for Rolls-Royce, in order to develop a more robust decision support framework that can deliver on the promise of being more useful.
Practically speaking, the computational cost of large simulation studies may seem prohibitive, but large enough samples are often required to ensure both the accuracy and precision necessary for unambiguous experimentation. In order to appropriately prioritise opportunities, it is crucially important that an analyst can distinguish the sample differences that are due to experimental changes, rather than imprecise estimates.
To illustrate this issue, the bootstrap method has been applied to a complex model of engine maintenance operations to show a clear relationship between sample size, computational power, and precision. As example, all metric means in this case study were shown to have reached an acceptable level of precision within 1024 runs, or one hour of computation time, however, one hour per trial is considered impractically slow with respect to an experimental study requiring upwards of 350 trials. In showing that 25 of 198 tracked metric values require more than 1024 iterations to achieve acceptable levels of precision, this paper illustrates the need to trade off computation time against computation power, thus enabling the sorts of experimentation that usefully prioritise the exploitation of profitable opportunities.
Rees, Jonathan D.
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Santos, Siddhartha
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Yu, Tai-Tuck
13211fd2-7998-4376-8396-2ba9e61a7ef8
14 April 2011
Rees, Jonathan D.
0dec7765-bf0e-4b6b-93d1-91aa1ddae628
Santos, Siddhartha
f648d20d-a6fb-4ab7-a9f4-561c7f3fac71
Yu, Tai-Tuck
13211fd2-7998-4376-8396-2ba9e61a7ef8
Rees, Jonathan D., Santos, Siddhartha and Yu, Tai-Tuck
(2011)
Characterising the convergence of a stochastic simulation model using the bootstrap method.
19th Advances in Risk and Reliability Technology Symposium (AR2TS), Stratford-upon-Avon, United Kingdom.
12 - 14 Apr 2011.
16 pp
.
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Conference or Workshop Item
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Abstract
Accepting that all models are wrong, whilst some are useful (G.E.P. Box), this paper will describe how the bootstrap technique has been applied to forecasting for Rolls-Royce, in order to develop a more robust decision support framework that can deliver on the promise of being more useful.
Practically speaking, the computational cost of large simulation studies may seem prohibitive, but large enough samples are often required to ensure both the accuracy and precision necessary for unambiguous experimentation. In order to appropriately prioritise opportunities, it is crucially important that an analyst can distinguish the sample differences that are due to experimental changes, rather than imprecise estimates.
To illustrate this issue, the bootstrap method has been applied to a complex model of engine maintenance operations to show a clear relationship between sample size, computational power, and precision. As example, all metric means in this case study were shown to have reached an acceptable level of precision within 1024 runs, or one hour of computation time, however, one hour per trial is considered impractically slow with respect to an experimental study requiring upwards of 350 trials. In showing that 25 of 198 tracked metric values require more than 1024 iterations to achieve acceptable levels of precision, this paper illustrates the need to trade off computation time against computation power, thus enabling the sorts of experimentation that usefully prioritise the exploitation of profitable opportunities.
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Published date: 14 April 2011
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19th Advances in Risk and Reliability Technology Symposium (AR2TS), Stratford-upon-Avon, United Kingdom, 2011-04-12 - 2011-04-14
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Local EPrints ID: 186857
URI: http://eprints.soton.ac.uk/id/eprint/186857
PURE UUID: a0b26595-125d-4613-a1fb-df88f12ac3e3
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Date deposited: 16 May 2011 12:42
Last modified: 14 Mar 2024 03:22
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Author:
Jonathan D. Rees
Author:
Siddhartha Santos
Author:
Tai-Tuck Yu
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