Simulation cloning with induced negative correlation

Abstract

Simulation cloning involves expediting a simulation by sharing computational results among different sample paths. It resembles the idea of splitting, which is widely researched in rare event simulation, as splitting techniques also produce clones when a sample path reaches a certain state. In this paper, we consider the use of simulation cloning for estimation of performance measures via transient simulation. In addition to the basic cloning approach, we present simulation cloning algorithms with induced negative correlation to reduce variance. We also consider the possibility of cloning the simulation at multiple (two) decision points. Numerical experiments are provided to illustrate the effectiveness of our algorithms. In real-life situations where simulating one replication is expensive and variability is larger in the replicated part of the simulation, simulation cloning can significantly improve the efficiency of the simulation.

Keywords:

• output analysis
• efficiency
• antithetic variables
• splitting

Distribution Statement “A” (Approved for Public Release, Distribution Unlimited)

Distribution Statement “A” (Approved for Public Release, Distribution Unlimited)

Acknowledgments

This research was supported in part by DARPA contract W15P7T-09-C-M011 via sub-contract 4400156910 from SAIC. The views expressed are those of the authors and do not reflect the official policy or position of the Department of Defense or the U.S. Government. We thank two anonymous reviewers for detailed comments that led to significant improvements in our manuscript. Also, appreciation is recorded here for Dr. Judith Norback who carefully read and gave editorial comments on earlier versions of the paper.