When the Nelder-Mead method is used to optimize the expected response of a stochastic system (e.g., an output of a discrete-event simulation model), the simplex-resizing steps of the method introduce risks of inappropriate termination. We give analytical and empirical results describing the...

New point and interval estimators for quantiles that employ a control variate are introduced. The properties of these estimators do not depend on the usual assumption of joint normality between the random variable of interest and the control. Illustrative examples for queueing and stochastic...

In stochastic systems, quantiles indicate the level of system performance that can be delivered with a specified probability, while probabilities indicate the likelihood that a specified level of system performance can be achieved. We present new estimators for use in simulation experiments...

We consider the problem of comparing a finite number of stochastic systems with respect to a single system (designated as the "standard") via simulation experiments. The comparison is based on expected performance, and the goal is to determine if any system has larger expected performance than...

Using common random numbers (CRN) in simulation experiment design is known to reduce the variance of estimators of differences in system performance. However, when more than two systems are compared, exact simultaneous statistical inference in conjunction with CRN is typically impossible. We...

We consider applying the nonoverlapping batch means output analysis method in conjunction with the control-variate variance-reduction technique to estimate a steady-state multivariate mean vector. The effects of the number of batches and the number of control variates on the multivariate point...

In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure...

When the simulation department of Management Science was created in 1978 it ushered in an era of significant methodological advances in stochastic simulation. However, the foundation for the field---not just the work that has been published in Management Science---was provided by two papers...

We present a general recipe for constructing experiment design and analysis procedures that simultaneously provide indifference-zone selection and multiple-comparison inference for choosing the best among k simulated systems. We then exhibit two such procedures that exploit the...