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Sensitivity and scenario analysis for simulation metamodels

Authors:

Susan M. Sanchez,

L. Douglas Smith,

Edward C. LawrenceAuthors Info & Claims

WSC '96: Proceedings of the 28th conference on Winter simulation

Pages 1440 - 1447

https://doi.org/10.1145/256562.256988

Published: 08 November 1996 Publication History

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Abstract

We use simple orthogonal and non-orthogonal designs to analyze a multi-tiered model for forecasting performance of a large-scale home mortgage portfolio. The experiments are used to assess the sensitivity of performance to projected changes in economic conditions as well as the sensitivity of the model to coefficients estimated from historical data. Our results attribute the variation in loan performance to variation in individual factors or factor combinations, indicating which are crucial to monitor or forecast accurately. The results are at times counter-intuitive, indicating the benefits of a systematic approach to sensitivity assessment and scenario generation.

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Sanchez, S. M. 1994a. Experiment designs for system assessment and improvement when noise factors are correlated. In Proceedings of the 199~ Winter Simulation Conference, ed. J. D. Tew, M. S. Manivannan, D. A. Sadowski and A. F. Seila, 290-296. Institute of Electrical and Electronic Engineers, Orlando, Florida.

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[3]

Sanchez, S. M. 1994b. A robust design tutorial. In Proceedings of the 199~ Winter Simulation Conference, ed. J. D. Tew, M. S. Manivannan, D. A. Sadowski and A. F. Seila, 106-113. Institute of Electrical and Electronic Engineers, Orlando, Florida.

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Sanchez, S. M., P. J. Sanchez and J. S. Ramberg. 1996. A simulation framework for robust system design. In Concurrent design of products, manufacturing processes and systems, ed. B. Wang. New York: Gordon and Breach, forthcoming.

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Smith, L. D., S. M. Sanchez and E. C. Lawrence. 1996. A comprehensive model for managing credit risk and forecasting losses on home mortgage portfolios. Decision Sciences, forthcoming.

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Cited By

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Novak DRagsdale C(2003)A decision support methodology for stochastic multi-criteria linear programming using spreadsheetsDecision Support Systems10.1016/S0167-9236(02)00130-636:1(99-116)Online publication date: 1-Sep-2003
https://dl.acm.org/doi/10.1016/S0167-9236%2802%2900130-6
Sanchez SFishwick PKang KJoines JBarton R(2000)Design of experimentsProceedings of the 32nd conference on Winter simulation10.5555/510378.510394(69-76)Online publication date: 10-Dec-2000
https://dl.acm.org/doi/10.5555/510378.510394
Sanchez S(2000)Robust design: seeking the best of all possible worlds2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165)10.1109/WSC.2000.899700(69-76)Online publication date: 2000
https://doi.org/10.1109/WSC.2000.899700

Sensitivity and scenario analysis for simulation metamodels
1. Applied computing
2. Mathematics of computing
  1. Probability and statistics
    1. Probabilistic reasoning algorithms

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Information & Contributors

Information

Published In

WSC '96: Proceedings of the 28th conference on Winter simulation

November 1996

1527 pages

ISBN:0780333837

Editors:
John M. Charnes
Univ. of Kansas, Lawrence
,
Douglas J. Morrice
Univ. of Texas, Austin
,
Daniel T. Brunner
Systemflow Simulations, Inc., Indianapolis, IN
,
James J. Swain
Univ. of Alabama, Huntsville, Indianapolis, IN

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IEEE Computer Society

United States

Publication History

Published: 08 November 1996

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WSC90

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IIE
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SIGSIM
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NIST

WSC90: 1990 Winter Simulation Conference

December 8 - 11, 1996

California, Coronado, USA

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WSC '96 Paper Acceptance Rate 128 of 187 submissions, 68%;

Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

View all

Novak DRagsdale C(2003)A decision support methodology for stochastic multi-criteria linear programming using spreadsheetsDecision Support Systems10.1016/S0167-9236(02)00130-636:1(99-116)Online publication date: 1-Sep-2003
https://dl.acm.org/doi/10.1016/S0167-9236%2802%2900130-6
Sanchez SFishwick PKang KJoines JBarton R(2000)Design of experimentsProceedings of the 32nd conference on Winter simulation10.5555/510378.510394(69-76)Online publication date: 10-Dec-2000
https://dl.acm.org/doi/10.5555/510378.510394
Sanchez S(2000)Robust design: seeking the best of all possible worlds2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165)10.1109/WSC.2000.899700(69-76)Online publication date: 2000
https://doi.org/10.1109/WSC.2000.899700

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On direct gradient enhanced simulation metamodels

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Note-Sliding Simulation: A New Approach to Time Series Forecasting