Empirical Bayes Methods for Discrete Event Simulation Performance Measure Estimation

Authors Shona Blair, Tim Bedford, John Quigley

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Shona Blair
Tim Bedford
John Quigley

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Shona Blair, Tim Bedford, and John Quigley. Empirical Bayes Methods for Discrete Event Simulation Performance Measure Estimation. In 3rd Student Conference on Operational Research. Open Access Series in Informatics (OASIcs), Volume 22, pp. 21-30, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2012)


Discrete event simulation (DES) is a widely-used operational research methodology facilitating the analysis of complex real-world systems. Although, generally speaking, simplicity is greatly desirable in DES modelling applications, in many cases the nature of the underlying system results in simulation models which are large in scale, complex, and expensive to run. As such, the careful design and analysis of simulation experiments is essential to ensure valid and efficient inference concerning DES model performance measures. It is envisaged that empirical Bayes (EB) methods, which enable data to be pooled across a set of populations to support inference of the parameters of a single population, may be of use within this context. Despite this potential, EB has so far been neglected within the DES literature. This paper presents a preliminary computational investigation into the efficacy of EB procedures in the estimation of DES performance measures. The results of this investigation, and their significance, are explored. Additionally, likely directions for future research are also addressed.
  • Discrete Event Simulation
  • Analysis Methodology
  • Empirical Bayes


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