Linking statistical estimation and decision making through simulation

Jin Fang, L. Jeff Hong

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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.

Original languageEnglish (US)
Title of host publicationProceedings of the 2013 Winter Simulation Conference - Simulation
Subtitle of host publicationMaking Decisions in a Complex World, WSC 2013
Pages766-777
Number of pages12
DOIs
StatePublished - 2013
Externally publishedYes
Event2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013 - Washington, DC, United States
Duration: Dec 8 2013Dec 11 2013

Publication series

NameProceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013

Conference

Conference2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
Country/TerritoryUnited States
CityWashington, DC
Period12/8/1312/11/13

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