TY - GEN
T1 - Linking statistical estimation and decision making through simulation
AU - Fang, Jin
AU - Hong, L. Jeff
PY - 2013
Y1 - 2013
N2 - Models that are built to help make decisions usually involve input parameters, which need to be estimated statistically using data. However, submitting these estimated parameters directly to the model may result in biased decisions because the estimated parameters are biased or the model is nonlinear. We propose a new parameter estimator called Simulation-Based Inverse Estimator (SBIE) to link the statistical estimation and decision making together. The linkage is achieved by simulating the model and adjusting the estimated parameters such that the adjusted parameters can adapt to the specific model. We prove that SBIE can provide us with consistent and unbiased decisions under some conditions and this result is supported by numerical experiments in queuing models.
AB - Models that are built to help make decisions usually involve input parameters, which need to be estimated statistically using data. However, submitting these estimated parameters directly to the model may result in biased decisions because the estimated parameters are biased or the model is nonlinear. We propose a new parameter estimator called Simulation-Based Inverse Estimator (SBIE) to link the statistical estimation and decision making together. The linkage is achieved by simulating the model and adjusting the estimated parameters such that the adjusted parameters can adapt to the specific model. We prove that SBIE can provide us with consistent and unbiased decisions under some conditions and this result is supported by numerical experiments in queuing models.
UR - http://www.scopus.com/inward/record.url?scp=84894203068&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84894203068&partnerID=8YFLogxK
U2 - 10.1109/WSC.2013.6721469
DO - 10.1109/WSC.2013.6721469
M3 - Conference contribution
AN - SCOPUS:84894203068
SN - 9781479939503
T3 - Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
SP - 766
EP - 777
BT - Proceedings of the 2013 Winter Simulation Conference - Simulation
T2 - 2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
Y2 - 8 December 2013 through 11 December 2013
ER -