Improving the Efficiency and Efficacy of Controlled Sequential Bifurcation for Simulation Factor Screening

  • Authors:
  • Hong Wan;Bruce E. Ankenman;Barry L. Nelson

  • Affiliations:
  • School of Industrial Engineering, Purdue University, West Lafayette, Indiana 47907;Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208;Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208

  • Venue:
  • INFORMS Journal on Computing
  • Year:
  • 2010

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Abstract

Controlled sequential bifurcation (CSB) is a factor-screening method for discrete-event simulations. It combines a multistage hypothesis testing procedure with the original sequential bifurcation procedure to control both the power for detecting important effects at each bifurcation step and the Type I error for each unimportant factor under heterogeneous variance conditions when a main-effects model applies. This paper improves the CSB procedure in two aspects. First, a new fully sequential hypothesis-testing procedure is introduced that greatly improves the efficiency of CSB. Moreover, this paper proposes CSB-X, a more general CSB procedure that has the same error control for screening main effects that CSB does, even when two-factor interactions are present. The performance of the new method is proven and compared with the original CSB procedure.