Chapter 1 Stochastic Computer Simulation

This Handbook is a collection of chapters on key issues in the design and analysis of computer simulation experiments on models of stochastic systems. The chapters are tightly focused and written by experts in each area. For the purpose of this volume “simulation” refers to the analysis of stochastic processes through the generation of sample paths (realization) of the processes. Attention focuses on design and analysis issues and the goal of this volume is to survey the concepts, principles, tools and techniques that underlie the theory and practice of stochastic simulation design and analysis. Emphasis is placed on the ideas and methods that are likely to remain an intrinsic part of the foundation of the field for the foreseeable future. The chapters provide up-to-date references for both the simulation researcher and the advanced simulation user, but they do not constitute an introductory level ‘how to’ guide. Computer scientists, financial analysts, industrial engineers, management scientists, operations researchers and many other professionals use stochastic simulation to design, understand and improve communications, financial, manufacturing, logistics, and service systems. A theme that runs throughout these diverse applications is the need to evaluate system performance in the face of uncertainty, including uncertainty in user load, interest rates, demand for product, availability of goods, cost of transportation and equipment failures. * Tightly focused chapters written by experts * Surveys concepts, principles, tools, and techniques that underlie the theory and practice of stochastic simulation design and analysis * Provides an up-to-date reference for both simulation researchers and advanced simulation users Content: Dedication Page v Shane G. Henderson, Barry L. Nelson Chapter 1 Stochastic Computer Simulation Review Article Pages 1-18 Shane G. Henderson, Barry L. Nelson Chapter 2 Mathematics for Simulation Review Article Pages 19-53 Shane G. Henderson Chapter 3 Uniform Random Number Generation Review Article Pages 55-81 Pierre L'Ecuyer Chapter 4 Nonuniform Random Variate Generation Review Article Pages 83-121 Luc Devroye Chapter 5 Multivariate Input Processes Review Article Pages 123-153 Bahar Biller, Soumyadip Ghosh Chapter 6 Arrival Processes, Random Lifetimes and Random Objects Review Article Pages 155-180 Lawrence M. Leemis Chapter 7 Implementing Representations of Uncertainty Review Article Pages 181-191 W. David Kelton Chapter 8 Statistical Estimation in Computer Simulation Review Article Pages 193-223 Christos Alexopoulos Chapter 9 Subjective Probability and Bayesian Methodology Review Article Pages 225-257 Stephen E. Chick Chapter 10 A Hilbert Space Approach to Variance Reduction Review Article Pages 259-289 Roberto Szechtman Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances Review Article Pages 291-350 S. Juneja, P. Shahabuddin Chapter 12 Quasi-Random Number Techniques Review Article Pages 351-379 C. Lemieux Chapter 13 Analysis for Design Review Article Pages 381-413 Ward Whitt Chapter 14 Resampling Methods Review Article Pages 415-453 R.C.H. Cheng Chapter 15 Correlation-Based Methods for Output Analysis Review Article Pages 455-475 David Goldsman, Barry L. Nelson Chapter 16 Simulation Algorithms for Regenerative Processes Review Article Pages 477-500 Peter W. Glynn Chapter 17 Selecting the Best System Review Article Pages 501-534 Seong-Hee Kim, Barry L. Nelson Chapter 18 Metamodel-Based Simulation Optimization Review Article Pages 535-574 Russell R. Barton, Martin Meckesheimer Chapter 19 Gradient Estimation Review Article Pages 575-616 Michael C. Fu Chapter 20 An Overview of Simulation Optimization via Random Search Review Article Pages 617-631 Sigrún Andradóttir Chapter 21 Metaheuristics Review Article Pages 633-654 Sigurdur Ólafsson Author Index Pages 655-666 Subject Index Pages 667-678