基于改进整群抽样的基效应仿真因子筛选及应用
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中南大学 商学院,长沙 410083

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E-mail: aochenao2001@163.com.

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TP391.9

基金项目:

国家自然科学基金重大项目(72293574);国家自然科学基金面上项目(71971219);2022年湘江实验室项目(22XJ03025);湖南省杰出青年基金项目(2022JJ10084).


An efficient cluster sampling generation method and its application
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School of Business,Central South University,Changsha 410083,China

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    摘要:

    大数据背景下,仿真模型通常有许多因子,仿真筛选实验(screening)就是识别出其中对响应(仿真输出或系统绩效)起最重要作用的少部分因子(亦称仿真输入或变量) 的重要方法.目前常用的筛选方法有序贯分支法(SB)与基效应法(EE).相较于SB方法,EE以其不假设具体的仿真输入/输出数学关系(model-free)的优势在近年来不断发展并被应用于诸多领域,然而其劣势在于计算效率.为提高EE仿真模型的计算效率,提出一种改进的更具一般性的整群抽样方法(简称ECS).相较于现有整群抽样方法,ECS通过拆分矩阵的方式自动构造抽样矩阵,利用该矩阵能够为每个因子生成数量相同且满足目标的基效应,节省大量的仿真预算.蒙特卡罗仿真实验表明,ECS在不损失统计效力的基础上可大大提高计算效率,充分验证该方法的有效性.

    Abstract:

    In the context of big data, simulation models often involve multiple factors. The purpose of simulation screening experiments is to identify the small subset of factors(also referred to as simulation inputs or variables) that have the most significant impact on the response(simulation output or system performance). Currently, two commonly used screening methods are sequential bifurcation(SB) and elementary effects(EE). In recent years, the EE has gained traction in various fields due to its advantage of not assuming specific mathematical relationships between simulation inputs and outputs(i.e., it is model-free). However, it suffers from computational inefficiency. To address this issue and improve the computational efficiency of the EE, this paper proposes an enhanced and more versatile method called enhanced cluster sampling(ECS). Unlike existing cluster sampling methods, the ECS automatically constructs a sampling matrix by decomposing the matrix, enabling the generation of an equal number of target elementary effects for each factor. This approach significantly saves simulation budget. Monte Carlo simulation experiments demonstrate that the ECS greatly enhances computational efficiency without compromising statistical effectiveness, providing compelling evidence for the effectiveness of the proposed method.

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施文,陈奥.基于改进整群抽样的基效应仿真因子筛选及应用[J].控制与决策,2024,39(8):2728-2736

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  • 在线发布日期: 2024-07-16
  • 出版日期: 2024-08-20
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