Sensitivity to Serial Dependency of Input Processes: A Robust Approach

• 成果类型: Article
• 署名作者: Lam, Henry
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2667
• 发表日期: 2018
• 页码: 1311-1327
• 关键词: Sensitivity analysis; serial dependency; Nonparametric; model uncertainty; robust optimization

摘要

Procedures in assessing the impact of serial dependency on performance analysis are usually built on parametrically specified models. In this paper, we propose a robust, nonparametric approach to carry out this assessment, by computing the worst-case deviation of the performance measure due to arbitrary dependence. The approach is based on optimizations, posited on the model space, that have constraints specifying the level of dependency measured by a nonparametric distance to some nominal independent and identically distributed input model. We study approximation methods for these optimizations via simulation and analysis of variance. Numerical experiments demonstrate how the proposed approach can discover the hidden impacts of dependency beyond those revealed by conventional parametric modeling and correlation studies.