Metamodeling of simulations consisting of time series inputs and outputs

Authors:
Scott L. Rosen;Christopher P. Saunders;Samar K. Guharay
Affiliations:
The MITRE Corporation, McLean, VA;The MITRE Corporation, McLean, VA;The MITRE Corporation, McLean, VA
Venue:
Proceedings of the Winter Simulation Conference
Year:
2012

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Abstract

Long run times of a simulation can be a hindrance when an analyst is attempting to use the model for timely system analysis and optimization. In this situation, techniques such as simulation metamodeling should be considered to expedite the end user's intended analysis procedure. A difficult problem arises in the application of metamodeling when the simulation inputs and outputs are not of a single value, but constitute a time series, a phenomenon that is seen repeatedly in the area of financial simulations and many naturally occurring events. This paper provides a method to develop a mapping between multiple time series inputs of a simulation and a single Figure of Merit (FoM) of the system across a given time period of interest. In addition, this paper discusses a means for an end user to define a tailored FoM with respect to their own specific system beliefs and objectives in the case of multiple simulation outputs.