Controlled sequential factorial design for simulation factor screening

Screening experiments are performed to eliminate unimportant factors efficiently so that the remaining important factors can be studied more thoroughly in later experiments. This paper proposes controlled sequential factorial design (CSFD) for discrete-event simulation experiments. It combines a sequential hypothesis testing procedure with a traditional (fractional) factorial design to control the Type I error and power for each factor under heterogeneous variance conditions. We compare CSFD with other sequential screening methods with similar error control properties. CSFD requires few assumptions and demonstrates robust performance with different system conditions. The method is appropriate for systems with a moderate number of factors and large variances.