TITLE: Input-output uncertainty comparisons for optimization via simulation under model risk

ABSTRACT:

Input-output uncertainty (IOU) comparisons is a new discrete optimization via simulation (DOvS) procedure for a problem under input model risk. Input model risk refers to the risk of making a suboptimal decision due to misspecification of input models to the simulation because they are estimated from finite real-world observations. Without knowing the true input distributions, finding the true optimal solution is a challenging, yet ubiquitous problem. IOU comparisons procedure separates the solutions in contention into two groups with the target probability guarantee; the solutions so inferior to the true optimal that we can separate them even with the errors in the input models and the solutions statistically inseparable from the true optimal with the input model errors. The size of the latter subset is small, if not one, when the solutions are affected similarly by the input model errors and/or when the true optimal solution performs much better than the rest. IOU comparisons procedure asymptotically provides the target statistical guarantee as the real-world sample size and simulation effort increase. The finite sample performances of the IOU comparisons procedure and its heuristic variation are demonstrated using an inventory problem with unknown input distributions.

Bio: Eunhye Song is a Ph.D. candidate in Industrial Engineering Management Sciences at Northwestern University. Her primary research interests lie in optimization via simulation and uncertainty quantification in simulation output due to misspecified input models. Her most recent research combines both areas to determine solutions which perform well even in the presence of model risk due to such misspecification.

A chapter of her dissertation is now implemented in the output analysis module of Simio, a leading simulation software package. She also has worked on an industry project with General Motors to quantify uncertainty in their market share simulator.

In her free time, she enjoys travelling to a new place, trying a new recipe she found on the internet, and playing squash with friends.