Computing Worst-case Input Models in Stochastic Simulation

@inproceedings{Ghosh2015ComputingWI,
  title={Computing Worst-case Input Models in Stochastic Simulation},
  author={Soumyadip Ghosh and Henry Lam},
  year={2015}
}
Any performance analysis based on stochastic simulation is subject to the errors inherent in misspecifying the modeling assumptions, particularly the input distributions. One way to quantify such errors, especially in situations with little support from data, is to carry out a worst-case analysis, with the partial, nonparametric knowledge of the input model represented via optimization constraints. We design and analyze a numerical scheme for both a general class of simulation objectives and of… CONTINUE READING

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