Optimization-based calibration of simulation input models
From MaRDI portal
Publication:5129200
Abstract: Studies on simulation input uncertainty often built on the availability of input data. In this paper, we investigate an inverse problem where, given only the availability of output data, we nonparametrically calibrate the input models and other related performance measures of interest. We propose an optimization-based framework to compute statistically valid bounds on input quantities. The framework utilizes constraints that connect the statistical information of the real-world outputs with the input-output relation via a simulable map. We analyze the statistical guarantees of this approach from the view of data-driven robust optimization, and show how the guarantees relate to the function complexity of the constraints arising in our framework. We investigate an iterative procedure based on a stochastic quadratic penalty method to approximately solve the resulting optimization. We conduct numerical experiments to demonstrate our performance in bounding the input models and related quantities.
Recommendations
- Input-output uncertainty comparisons for discrete optimization via simulation
- Reducing Simulation Input-Model Risk via Input Model Averaging
- A Bayesian framework for quantifying uncertainty in stochastic simulation
- Robust analysis in stochastic simulation: computation and performance guarantees
- Quantifying input uncertainty via simulation confidence intervals
Cites work
- scientific article; zbMATH DE number 1818892 (Why is no real title available?)
- scientific article; zbMATH DE number 3732950 (Why is no real title available?)
- scientific article; zbMATH DE number 409717 (Why is no real title available?)
- scientific article; zbMATH DE number 1569102 (Why is no real title available?)
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- A semidefinite optimization approach to the steady-state analysis of queueing systems
- Accelerated gradient methods for nonconvex nonlinear and stochastic programming
- Ambiguous joint chance constraints under mean and dispersion information
- Ambiguous risk constraints with moment and unimodality information
- Approximating a Point Process by a Renewal Process, I: Two Basic Methods
- Approximating a Point Process by a Renewal Process: The View Through a Queue, an Indirect Approach
- Bayesian calibration of computer models. (With discussion)
- Bounding wrong-way risk in CVA calculation
- Calculation of confidence intervals for simulation output
- Distributionally Robust Convex Optimization
- Distributionally robust Markov decision processes
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Estimating characteristics of queueing networks using transactional data
- Estimation for an M/G/ queue with incomplete information
- Estimation for queues from queue length data
- Fitting birth-and-death queueing models to data
- General bounds and finite-time improvement for the Kiefer-Wolfowitz stochastic approximation algorithm
- Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis
- Inverse Problem Theory and Methods for Model Parameter Estimation
- Large Sample Properties of Weighted Monte Carlo Estimators
- Limit theorems for \(U\)-processes
- Maximum likelihood estimates and confidence intervals of an \(M/M/R\) queue with heterogeneous servers
- Maximum likelihood estimation for single server queues from waiting time data
- Mini-batch stochastic approximation methods for nonconvex stochastic composite optimization
- Minimax optimal control of stochastic uncertain systems with relative entropy constraints
- Mirror descent and nonlinear projected subgradient methods for convex optimization.
- Moment estimation of customer loss rates from transactional data
- Multidimensional Stochastic Approximation Methods
- Non-parametric estimation for the \(M/G/\infty\) queue
- Nonparametric Inference About Service Time Distribution from Indirect Measurements
- Nonparametric inference of photon energy distribution from indirect measurement
- On the optimality of threshold control in queues with model uncertainty
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Parameter estimation using partial information with applications to queueing and related models
- Probabilistic inversion of expert judgments in the quantification of model uncertainty
- Quantifying distributional model risk via optimal transport
- Quantifying input uncertainty via simulation confidence intervals
- Queue inference from periodic reporting data
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
- Robust Dynamic Programming
- Robust Stochastic Approximation Approach to Stochastic Programming
- Robust analysis in stochastic simulation: computation and performance guarantees
- Robust optimization
- Robust portfolio control with stochastic factor dynamics
- Robust risk measurement and model risk
- Robust sample average approximation
- Robust sensitivity analysis for stochastic systems
- Robustness
- Stochastic First- and Zeroth-Order Methods for Nonconvex Stochastic Programming
- Stochastic block mirror descent methods for nonsmooth and stochastic optimization
- Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
- Tail analysis without parametric models: a worst-case perspective
- The Ocean Circulation Inverse Problem
- The Queue Inference Engine: Deducing Queue Statistics from Transactional Data
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Theory and applications of robust optimization
- Two-point methods for assessing variability in simulation output
- Verification and validation of simulation models
- WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
- Weak convergence and empirical processes. With applications to statistics
- Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
Cited in
(9)- Bayesian sequential data collection for stochastic simulation calibration
- Input optimization: I. Optimal realizations of mathematical models
- Robust analysis in stochastic simulation: computation and performance guarantees
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- Input-output uncertainty comparisons for discrete optimization via simulation
- Constrained multifidelity optimization using model calibration
- Bayesian optimisation vs. input uncertainty reduction
- Globally optimized calibration of environmental models
- Efficient calibration for imperfect computer models
This page was built for publication: Optimization-based calibration of simulation input models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5129200)
