Applying Bayesian ideas in simulation

Simulation Practice and Theory

Volumn 8, Issue 3-4, 2000, Pages 253-280

  Andradóttir, Sigrún ^a   Bier, Vicki M ^b  

^a Georgia Institute of Technology   (United States)

^b UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; STATISTICAL METHODS;

BAYESIAN STATISTICS; INPUT ANALYSIS; OUTPUT ANALYSIS; PRIOR DISTRIBUTIONS; VALIDATION; VERIFICATION;

COMPUTER SIMULATION;

EID: 0343832897     PISSN: 09284869     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0928-4869(00)00025-2     Document Type: Article

References (42)

1. S. Andradóttir, V.M. Bier, Applying Bayesian ideas in simulation, Technical Report 97-1, Department of Industrial Engineering, University of Wisconsin-Madison, 1997.
2. Berger J.O. Statistical Decision Theory and Bayesian Analysis. 1985;Springer, Berlin.
3. Berger J.O., Pericchi L.R. The intrinsic Bayes factor for model selection and prediction. J. Am. Stat. Assoc. 91:1996;109-122.
4. Bier V.M., Haimes Y.Y., Lambert J.H., Matalas N.C., Zimmerma R. Assessing and managing the risk of extremes. Risk Anal. 19:1999;83-94.
5. Billingsley P. Probability and Measure. 1995;Wiley, New York.
6. Buckley J.J. Entropy principles in decision making under risk. Risk Anal. 5:1985;303-313.
7. S.E. Chick, Bayesian analysis for simulation input and output, in: S. Andradóttir, K.J. Healy, D.H. Withers, B.L. Nelson (Eds.), Proceedings of the 1997 Winter Simulation Conference, 1997, pp. 253-260.
8. S.E. Chick, K. Inoue, Sequential allocations that reduce risk for multiple comparisons, in: D.J. Medeiros, E.F. Watson, J.S. Carson, M.S. Manivannan (Eds.), Proceedings of the 1998 Winter Simulation Conference, 1998, pp. 669-676.
9. R.T. Clemen, Making Hard Decisions: An Introduction to Decision Analysis, PWS-Kent Publishing Company, 1990.
10. Cox D.R., Hinkley D.V. Theoretical Statistics. 1974;Chapman and Hall, London.
11. Draper D. Assessment and propagation of model uncertainty (with discussion). J. Royal Stat. Soc. B. 57:1995;45-97.
12. Fischhoff B. Debiasing. Kahneman D., Slovic P., Tversky A. Judgment under Uncertainty: Heuristics and Biases. 1982;Cambridge University Press, Cambridge.
13. Fishman G.S. Monte Carlo: Concepts, Algorithms, and Applications. 1996;Springer, Berlin.
14. Fu M.C. Optimization via simulation: a review. Ann. Oper. Res. 53:1994;199-247.
15. Gelman A., Carlin J.B., Stern H.S., Rubin D.B. Bayesian Data Analysis. 1995;Chapman and Hall, London.
16. P.W. Glynn, Problems in Bayesian analysis of stochastic simulation, in: J.R. Wilson, J.O. Henriksen, S.D. Roberts (Eds.), Proceedings of the 1986 Winter Simulation Conference, 1986, pp. 376-383.
17. Glynn P.W., Iglehart D.L. Importance sampling for stochastic simulation. Mgt. Sci. 35:1989;1367-1392.
18. Goldsman D., Nelson B.L. Comparing systems via simulation. Banks J. Handbook of Simulation: Principles, Methodology, Advances, Applications, and Practice. 1998;Wiley, New York.
19. D. Gross, D.M.B. Masi, Sensitivity of output performance measures to input distributions in queueing network modeling, in: D.J. Medeiros, E.F. Watson, J.S. Carson, M.S. Manivannan (Eds.), Proceedings of the 1998 Winter Simulation Conference, 1998, pp. 629-635.
20. K. Inoue, S.E. Chick, Comparison of Bayesian and frequentist assessments of uncertainty for selecting the best system, in: D.J. Medeiros, E.F. Watson, J.S. Carson, M.S. Manivannan (Eds.), Proceedings of the 1998 Winter Simulation Conference, 1998, pp. 727-734.
21. N.L. Johnson, S. Kotz, N. Balakrishnan, Continuous Univariate Distributions, vol. 1, Wiley, New York, 1994.
22. Kaplan S. On a 'two-stage' Bayesian procedure for determining failure rates from experiential data. IEEE Trans. Power Apparatus Sys. PAS-102:1983;195-202.
23. Koriat A., Lichtenstein S., Fischhoff B. Reasons for confidence. J. Exper. Psych.: Human Learning and Memory. 6:1980;107-118.
24. Law A.M., Kelton W.D. Simulation Modeling and Analysis. 1991;McGraw-Hill, New York.
25. P. L'Ecuyer, An overview of derivative estimation, in: B.L. Nelson, W.D. Kelton, G.M. Clark (Eds.), Proceedings of the 1991 Winter Simulation Conference, 1991, pp. 207-217.
26. Lichtenstein S., Fischhoff B., Phillips L. Calibration of probabilities: the state of the art to 1980. Kahneman D., Slovic P., Tversky A. Judgment under Uncertainty: Heuristics and Biases. 1982;Cambridge University Press, Cambridge.
27. G.R. MacKenzie, Approximately maximum-entropy multivariate distributions with specified marginals and pairwise correlation coefficients, Ph.D. Thesis, University of Oregon, 1994.
28. Martz H.F., Bryson M.C. On combining data for estimating the frequency of low-probability events with application to sodium valve failure rates. Nucl. Sci. Engrg. 83:1983;267-280.
29. Martz H., Waller R. Bayesian Reliability Analysis. 1982;Wiley, New York.
30. A.M. Meeuwissen, Dependent random variables in uncertainty analysis, Ph.D. Thesis, Technische Universiteit Delft, The Netherlands, 1991.
31. Nelson B.L., Schmeiser B.W., Taaffe M.R., Wang J. Approximation-assisted point estimation. Oper. Res. Lett. 20:1997;109-118.
32. O'Hagan A.E. Kendall's Advanced Theory of Statistics. 1994;Arnold, Paris.
33. Press S.J. Bayesian Statistics: Principles, Models, and Applications. 1989;Wiley, New York.
34. Raftery A.E. Bayesian model selection in social research (with discussion and a rejoinder). Marsden P.V. Sociological Methodology 1995. 1995;Blackwell, Oxford.
35. H. Robbins, An empirical Bayes approach to statistics, Proc. Third Berkeley Symp. on Math. Stat. and Prob., vol. 1, University of California Press, 1995.
36. Seaver D.A., von Winterfeldt D., Edwards W. Eliciting subjective probability distributions on continuous variables. Org. Behav. Human Perf. 21:1978;379-391.
37. C.E. Shannon, W. Weaver, The Mathematical Theory of Communication, University of Illinois Press, Champaign, IL, 1949.
38. P. Slovic, B. Fischhoff, S. Lichtenstein, Rating the risks, Environment 21 (April 1979) 14-20, 36-39.
39. C.S. Spetzler, C. S. Stael von Holstein, Probability encoding in decision analysis, in: R.A. Howard, J.E. Matheson, K.L. Miller (Eds.), Readings in Decision Analysis, Stanford Research Institute, 1977.
40. Tversky A., Kahneman D. Judgment under uncertainty: heuristics and biases. Science. 185:1974;1124-1131.
41. von Winterfeldt D., Edwards W. Decision Analysis and Behavioral Research. 1986;Cambridge University Press, Cambridge.
42. Yi W., Bier V.M. An application of copulas to accident precursor analysis. Mgt. Sci. 44:1998;S257-S270.