Virtual statistics in simulation via k nearest neighbors

Yujing Lin, Barry L. Nelson, Linda Pei

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

“Virtual statistics,” as we define them, are estimators of performance measures that are conditional on the occurrence of an event; virtual waiting time of a customer arriving to a queue at time τ0 is one example of virtual performance. In this paper, we describe a k-nearest-neighbor method for estimating virtual performance postsimulation from the retained sample paths, examining both its small-sample and asymptotic properties and providing two approaches for measuring the error of the k-nearest-neighbor estimator. We implement leave-one-replication-out cross-validation for tuning a single parameter k to use for any time (or times) of interest and evaluate the prediction performance of the k-nearest-neighbor estimator via controlled studies. As a by-product, this paper motivates a different way of thinking about how to process the output from dynamic, discrete-event simulation.

Original languageEnglish (US)
Pages (from-to)576-592
Number of pages17
JournalINFORMS Journal on Computing
Volume31
Issue number3
DOIs
StatePublished - 2019

Keywords

  • Queues: nonstationary
  • Simulation
  • Statistical analysis
  • Statistics

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Science Applications
  • Management Science and Operations Research

Fingerprint

Dive into the research topics of 'Virtual statistics in simulation via k nearest neighbors'. Together they form a unique fingerprint.

Cite this