Green simulation designs for repeated experiments

Mingbin Feng, Jeremy Staum

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

8 Scopus citations

Abstract

In this article we present the concept of green simulation, which views simulation outputs as scarce resources that should be recycled and reused. Output recycling, if implemented properly, can turn the computational costs in an experiment into computation investments for future ones. Green simulation designs are particularly useful for experiments that are repeated periodically. In this article we focus on repeated experiments whose inputs are observations from some underlying stochastic processes. Importance sampling and multiple importance sampling are two particular output recycling implementations considered in this article. A periodic credit risk evaluation problem in the KMV model is considered. Results from our numerical experiments show significant accuracy improvements, measured by mean squared errors, as more and more outputs are recycled and reused.

Original languageEnglish (US)
Title of host publication2015 Winter Simulation Conference, WSC 2015
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages403-413
Number of pages11
ISBN (Electronic)9781467397438
DOIs
StatePublished - Feb 16 2016
EventWinter Simulation Conference, WSC 2015 - Huntington Beach, United States
Duration: Dec 6 2015Dec 9 2015

Publication series

NameProceedings - Winter Simulation Conference
Volume2016-February
ISSN (Print)0891-7736

Other

OtherWinter Simulation Conference, WSC 2015
CountryUnited States
CityHuntington Beach
Period12/6/1512/9/15

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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  • Cite this

    Feng, M., & Staum, J. (2016). Green simulation designs for repeated experiments. In 2015 Winter Simulation Conference, WSC 2015 (pp. 403-413). [7408182] (Proceedings - Winter Simulation Conference; Vol. 2016-February). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2015.7408182