Accession Number:

ADA604705

Title:

Density Estimation of Simulation Output Using Exponential EPI-Splines

Descriptive Note:

Conference paper

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA DEPT OF OPERATIONS RESEARCH

Personal Author(s):

• Singham, Dashi I.
• Wets, Roger J.

Report Date:

2013-12-01

Pagination or Media Count:

12.0

Abstract:

The density of stochastic simulation output provides more information on system performance than the mean alone. However, density estimation methods may require large sample sizes to achieve a certain accuracy or desired structural properties. A nonparametric estimation method based on exponential epi-splines has shown promise to overcome this difficulty by incorporating qualitative and quantitative information that reduces the space of possible density estimates substantially. Such soft information may come in the form of the knowledge of a non-negative support, unimodality, and monotonicity, and is often available in simulation applications. We examine this method for output analysis of stochastic systems with fixed input parameters, and for a model with stochastic input parameters, with an emphasis on the use of derivative information.

Descriptors:

• *COMPUTERIZED SIMULATION
• COMPUTATION SCIENCE
• STOCHASTIC PROCESSES

Subject Categories:

• Statistics and Probability
• Operations Research
• Computer Programming and Software

Distribution Statement:

APPROVED FOR PUBLIC RELEASE