Fundamental
Simulation
Concepts
Chapter 2
Last revision March 9, 2014
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 1 of 57
What Well Do ...
Underlying ideas, methods, and issues in
simulation
Software-independent (setting up for Arena)
Example of a simple processing system
Spreadsheet simulation
Decompose problem
Terminology
Simulation by hand
Some basic statistical issues
Simple static, dynamic models
Overview of a simulation study
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 2 of 57
The System:
A Simple Processing System
Machine
(Server)
Arriving
Blank Parts
Queue (FIFO)
General intent:
Departing
Finished Parts
Part in Service
Estimate expected production
Waiting time in queue, queue length, proportion of time
machine is busy
Time units
Can use different units in different places must declare
Be careful to check units when specifying inputs
Declare base time units for internal calculations, outputs
Be reasonable (interpretation, roundoff error)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 3 of 57
Model Specifics
Initially (time 0) empty and idle
Base time units: minutes
Input data (assume given for now ), in minutes:
Part Number Arrival Time Interarrival Time
1
0.00 1.73 2.90
2
1.73 1.35 1.76
3
3.08 0.71 3.39
4
3.79 0.62 4.52
5
4.41 14.28
4.46
6
18.69
0.70 4.36
7
19.39
15.52
2.07
8
34.91
3.15 3.36
9
38.06
1.76 2.37
10 39.82
1.00 5.38
11 40.82
.
.
.
.
.
.
.
.
.
.
Service Time
Stop when 20 minutes of (simulated) time have
passed
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 4 of 57
Goals of Study:
Output Performance Measures
Total production of parts over run (P)
Average waiting time of parts in queue:
N = no. of parts completing queue wait
WQi WQi = waiting time in queue of ith part
i 1
Know: WQ1 = 0 (why?)
N
N > 1 (why?)
Maximum waiting time of parts in queue:
N
max WQi
i 1,...,N
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 5 of 57
Goals of Study:
Output Performance Measures (contd.)
Time-average number of parts in queue:
20
0 Q (t ) dt
Q(t) = number of parts in queue
at time t
20
Maximum number of parts in queue: max Q (t )
0t 20
Average and maximum total time in system of
parts (a.k.a. cycle time):
P
TSi
i 1
max TSi
TSi = time in system of part i
i 1,...,P
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 6 of 57
Goals of Study:
Output Performance Measures (contd.)
Utilization of machine (proportion of time busy)
20
Bt
( ) dt
20
1
if
machine
is
busy
at
time
t
, Bt
( )
0 if machine is idle at time t
Many others possible (information overload?)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 7 of 57
Analysis Options
Educated guessing
Average interarrival time = 4.08 minutes
Average service time = 3.46 minutes
So (on average) parts are being processed faster than they
arrive
System has a chance of operating in a stable way in long run, i.e.,
might not explode
If all interarrivals and service times were exactly at their mean, there
would never be a queue
But data clearly exhibit variability, so a queue could form
If wed had average interarrival < average service time, and
this persisted, then queue would explode
Truth between these extremes
Guessing has its limits
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 8 of 57
Analysis Options (contd.)
Queueing theory
Requires additional assumptions about model
Popular, simple model: M/M/1 queue
Interarrival times ~ exponential
Service times ~ exponential, indep. of interarrivals
Must have E(service) < E(interarrival)
Steady-state (long-run, forever)
Exact analytic results; e.g., average waiting time in queue is
S2
,
A S
A E(interarr ival time)
S E(service time)
Problems: validity, estimating means, time frame
Often useful as first-cut approximation
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 9 of 57
Mechanistic Simulation
Individual operations (arrivals, service times) will
occur exactly as in reality
Movements, changes occur at right times, in
right order
Different pieces interact
Install observers to get output performance
measures
Concrete, brute-force analysis approach
Nothing mysterious or subtle
But a lot of details, bookkeeping
Simulation software keeps track of things for you
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 10 of 57
Pieces of a Simulation Model
Entities
Players that move around, change status, affect and are
affected by other entities
Dynamic objects get created, move around, leave
(maybe)
Usually represent real things
Our model: entities are parts
Can have fake entities for modeling tricks
Breakdown demon, break angel
Though Arena has built-in ways to model these examples directly
Usually have multiple realizations floating around
Can have different types of entities concurrently
Usually, identifying types of entities is first thing to do in
building model
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 11 of 57
Pieces of a Simulation Model (contd.)
Attributes
Characteristic of all entities: describe, differentiate
All entities have same attribute slots but different values
for different entities, for example:
Time of arrival
Due date
Priority
Color
Attribute value tied to a specific entity
Like local (to entities) variables
Some automatic in Arena, some you define
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 12 of 57
Pieces of a Simulation Model (contd.)
(Global) Variables
Reflects a characteristic of whole model, not of specific
entities
Used for many different kinds of things
Travel time between all station pairs
Number of parts in system
Simulation clock (built-in Arena variable)
Name, value of which theres only one copy for whole
model
Not tied to entities
Entities can access, change variables
Writing on wall (rewriteable)
Some built-in by Arena, you can define others
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 13 of 57
Pieces of a Simulation Model (contd.)
Resources
What entities compete for
Entity seizes a resource, uses it, releases it
Think of a resource being assigned to an entity, rather than
an entity belonging to a resource
A resource can have several units of capacity
People
Equipment
Space
Seats at a table in a restaurant
Identical ticketing agents at an airline counter
Number of units of resource can be changed during
simulation
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 14 of 57
Pieces of a Simulation Model (contd.)
Queues
Place for entities to wait when they cant move on (maybe
since resource they want to seize is not available)
Have names, often tied to a corresponding resource
Can have a finite capacity to model limited space have
to model what to do if an entity shows up to a queue thats
already full
Usually watch length of a queue, waiting time in it
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 15 of 57
Pieces of a Simulation Model (contd.)
Statistical accumulators
Variables that watch whats happening
Depend on output performance measures desired
Passive in model dont participate, just watch
Many are automatic in Arena, but some you may have to
set up and maintain during simulation
At end of simulation, used to compute final output
performance measures
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 16 of 57
Pieces of a Simulation Model (contd.)
Statistical accumulators for simple processing
system
Number of parts produced so far
Total of waiting times spent in queue so far
No. of parts that have gone through queue
Max time in queue weve seen so far
Total of times spent in system
Max time in system weve seen so far
Area so far under queue-length curve Q(t)
Max of Q(t) so far
Area so far under server-busy curve B(t)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 17 of 57
Simulation Dynamics:
Event-Scheduling World View
Identify characteristic events
Decide on logic for each type of event to:
Effect state changes for each event type
Observe statistics
Update times of future events (maybe of this type, other
types)
Keep a simulation clock, future event calendar
Jump from one event to the next, process,
observe statistics, update event calendar
Must specify an appropriate stopping rule
Usually done with general-purpose programming
language (C++, Java, Matlab, FORTRAN, etc.)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 18 of 57
Events for the
Simple Processing System
Arrival of a new part to system
Update time-persistent statistical accumulators (from last
event to now)
Mark arriving part with current time (use later)
If machine is idle:
Start processing (schedule departure), Make machine busy, Tally
waiting time in queue (0)
Else (machine is busy):
Area under Q(t)
Max of Q(t)
Area under B(t)
Put part at end of queue, increase queue-length variable
Schedule next arrival event
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 19 of 57
Events for the
Simple Processing System (contd.)
Departure (when a service is completed)
Increment number-produced stat accumulator
Compute & tally time in system (now time of arrival)
Update time-persistent statistics (as in arrival event)
If queue is non-empty:
Take first part out of queue, compute & tally its waiting time in
queue, begin service (schedule departure event)
Else (queue is empty):
Make machine idle (Note: there will be no departure event
scheduled on future events calendar, which is as desired)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 20 of 57
Events for the
Simple Processing System (contd.)
The End
Update time-persistent statistics (to end of simulation)
Compute final output performance measures using current
(= final) values of statistical accumulators
After each event, event calendars top record is
removed to see what time it is, what to do
Also must initialize everything
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 21 of 57
Some Additional Specifics for the
Simple Processing System
Simulation clock variable (internal in Arena)
Event calendar: list of event records:
[Entity No., Event Time, Event Type]
Keep ranked in increasing order on Event Time
Next event always in top record
Initially, schedule first Arrival, The End (Dep.?)
State variables: describe current status
Server status B(t) = 1 for busy, 0 for idle
Number of customers in queue Q(t)
Times of arrival of each customer now in queue (a list of
random length)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 22 of 57
Simulation by Hand
Manually track state variables, statistical
accumulators
Use given interarrival, service times
Keep track of event calendar
Lurch clock from one event to next
Will omit times in system, max computations
here (see text for complete details)
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 23 of 57
Simulation by Hand:
Setup
System
Clock
B(t)
Q(t)
Number of
completed waiting
times in queue
Total of
waiting times in queue
Arrival times of
custs. in queue
Area under
Q(t)
Event calendar
Area under
B(t)
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 24 of 57
Simulation by Hand:
t = 0.00, Initialize
System
Number of
completed waiting
times in queue
0
Clock
B(t)
Q(t)
0.00
Arrival times of
Event calendar
custs. in queue
[1, 0.00,
Arr]
<empty> [, 20.00,
End]
Total of
waiting times in queue
Area under
Q(t)
Area under
B(t)
0.00
0.00
0.00
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 25 of 57
Simulation by Hand:
t = 0.00, Arrival of Part 1
System
1
Number of
completed waiting
times in queue
1
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[2, 1.73,
Arr]
<empty> [1, 2.90,
Dep]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
0.00
0.00
0.00
0.00
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 26 of 57
Simulation by Hand:
t = 1.73, Arrival of Part 2
System
Number of
completed waiting
times in queue
1
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[1, 2.90,
Dep]
(1.73) [3, 3.08,
Arr]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
1.73
0.00
0.00
1.73
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 27 of 57
Simulation by Hand:
t = 2.90, Departure of Part 1
System
2
Number of
completed waiting
times in queue
2
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[3, 3.08,
Arr]
<empty> [2, 4.66,
Dep]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
2.90
1.17
1.17
2.90
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 28 of 57
Simulation by Hand:
t = 3.08, Arrival of Part 3
System
Number of
completed waiting
times in queue
2
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[4, 3.79,
Arr]
(3.08) [2, 4.66,
Dep]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
3.08
1.17
1.17
3.08
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 29 of 57
Simulation by Hand:
t = 3.79, Arrival of Part 4
System
Number of
completed waiting
times in queue
2
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[5, 4.41,
Arr]
(3.79, 3.08) [2, 4.66,
Dep]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
3.79
1.17
1.88
3.79
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 30 of 57
Simulation by Hand:
t = 4.41, Arrival of Part 5
System
Number of
completed waiting
times in queue
2
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[2, 4.66,
Dep]
(4.41, 3.79, 3.08) [6, 18.69,
Arr]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
4.41
1.17
3.12
4.41
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 31 of 57
Simulation by Hand:
t = 4.66, Departure of Part 2
System
Number of
completed waiting
times in queue
3
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[3, 8.05,
Dep]
(4.41, 3.79) [6, 18.69,
Arr]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
4.66
2.75
3.87
4.66
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 32 of 57
Simulation by Hand:
t = 8.05, Departure of Part 3
System
Number of
completed waiting
times in queue
4
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[4, 12.57,
Dep]
(4.41) [6, 18.69,
Arr]
[, 20.00,
End]
Area under
Area under
Q(t)
B(t)
8.05
7.01
10.65
8.05
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 33 of 57
Simulation by Hand:
t = 12.57, Departure of Part 4
System
5
Number of
completed waiting
times in queue
5
Clock
B(t)
Q(t)
12.57
Arrival times of
custs. in queue
Total of
waiting times in queue
Area under
Q(t)
15.17
15.17
Event calendar
[5, 17.03,
Dep]
() [6, 18.69,
Arr]
[, 20.00,
End]
Area under
B(t)
12.57
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 34 of 57
Simulation by Hand:
t = 17.03, Departure of Part 5
System
Number of
completed waiting
times in queue
5
Clock
B(t)
Q(t)
17.03
Arrival times of
custs. in queue
()
Event calendar
[6, 18.69,
Arr]
[, 20.00,
End]
Total of
waiting times in queue
Area under
Q(t)
Area under
B(t)
15.17
15.17
17.03
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 35 of 57
Simulation by Hand:
t = 18.69, Arrival of Part 6
System
6
Number of
completed waiting
times in queue
6
Clock
B(t)
Q(t)
18.69
Arrival times of
custs. in queue
()
Total of
waiting times in queue
Area under
Q(t)
Event calendar
[7, 19.39,
Arr]
[, 20.00,
End]
[6, 23.05,
Dep]
Area under
B(t)
15.17
15.17
17.03
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 36 of 57
Simulation by Hand:
t = 19.39, Arrival of Part 7
System
Number of
completed waiting
times in queue
6
Clock
B(t)
Q(t)
Total of
waiting times in queue
Arrival times of
Event calendar
custs. in queue
[, 20.00,
End]
(19.39) [6, 23.05,
Dep]
[8, 34.91,
Arr]
Area under
Area under
Q(t)
B(t)
19.39
15.17
15.17
17.73
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
Slide 37 of 57
Simulation by Hand:
t = 20.00, The End
System
Number of
completed waiting
times in queue
6
Clock
B(t)
Q(t)
20.00
Arrival times of
Event calendar
custs. in queue
[6, 23.05,
Dep]
(19.39) [8, 34.91,
Arr]
Total of
waiting times in queue
Area under
Q(t)
Area under
B(t)
15.17
15.78
18.34
Q(t) graph
3
2
1
0
B(t) graph
10
15
20
10
15
20
2
1
0
Interarrival times
Time (Minutes)
1.73, 1.35, 0.71, 0.62, 14.28, 0.70, 15.52, 3.15, 1.76, 1.00, ...
Service times
2.90, 1.76, 3.39, 4.52, 4.46, 4.36, 2.07, 3.36, 2.37, 5.38, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulation by Hand:
Finishing Up
Average waiting time in queue:
Total of times in queue 15.17
2.53 minutes per part
No. of times in queue
6
Time-average number in queue:
Area under Q(t ) curve 15.78
0.79 part
Final clock value
20
Utilization of drill press:
Area under B(t ) curve 18.34
0.92 (dimension less)
Final clock value
20
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Complete Record of the
Hand Simulation
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Event-Scheduling Logic via
Programming
Clearly well suited to standard programming
language (C, C++, Java, etc.)
Often use utility libraries for:
List processing
Random-number generation
Random-variate generation
Statistics collection
Event-list and clock management
Summary and output
Main program ties it together, executes events in
order
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulation Dynamics:
Process-Interaction World View
Identify characteristic entities in system
Multiple copies of entities co-exist, interact,
compete
Code is non-procedural
Tell a story about what happens to a typical
entity
May have many types of entities, fake entities
for things like machine breakdowns
Usually requires special simulation software
Underneath, still executed as event-scheduling
View normally taken by Arena
Arena translates your model description into a program in
SIMAN simulation language for execution
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Randomness in Simulation
Above was just one replication a sample of
size one (not worth much)
Made a total of five replications (IID):
Substantial variability
across replications
Confidence intervals for expected values:
In general, X tn 1,1 / 2s / n
(normality assumption?)
For expected total production, 3.80 (2.776)(1.64 / 5 )
3.80 2.04 Precision?
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Comparing Alternatives
Usually, simulation is used for more than just a
single model configuration
Often want to compare alternatives, select or
search for best (via some criterion)
Simple processing system: What would happen
if arrival rate doubled?
Cut interarrival times in half
Rerun model for double-time arrivals
Make five replications
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Results: Original vs. Double-Time
Arrivals
Original circles
Double-time triangles
Replication 1 filled in
Replications 2-5 hollow
Note variability
Danger of making decisions based on one (first)
replication
Hard to see if there are really differences
Need: Statistical analysis of simulation output data
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Introduction
Popular, ubiquitous tool
Can use for simple simulation models
Typically, only static models
Risk analysis, financial/investment scenarios
Only (very) simplest of dynamic models
Two examples
Newsvendor problem (static)
Waiting times in single-server queue (dynamic)
Special recursion valid only in this case
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Newsvendor Problem Setup
Rupert sells daily newspapers on street
Each morning, Rupert buys q copies
X ~ normal ( = 135.7, = 27.1), from historical data
X rounds X to nearest integer
If D q, satisfy all demand, and q D 0 left over,
sell for scrap at s = $0.03 each
If D > q, sells out (sells all q copies), no scrap
q is a fixed number, same every day
Demand during a day: D = max ( X , 0)
Rupert buys for c = $0.55 each, sells for r = $1.00 each
But missed out on D q > 0 sales
What should q be?
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Newsvendor Problem Formulation
Choose q to maximize expected profit per day
Classic operations-research problem
q too small sell out, miss $0.45 profit per paper
q too big have left over, scrap at a loss of $0.52 per paper
Many versions, variants, extensions, applications
Much research on exact solution in certain cases
But easy to simulate, even in a spreadsheet
Profit in a day, as a function of q:
W(q) = r min (D, q) + s max (q D, 0) cq
Sales revenue
Scrap revenue
Cost
W(q) is a random variable profit varies from day to day
Maximize E(W(q)) over nonnegative integers q
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Newsvendor Problem Simulation
Set trial value of q, generate demand D, compute
profit for that day
Then repeat this for many days independently, average to
estimate E(W(q))
Also get confidence interval, estimate of P(loss), histogram of W(q)
Try for a range of values of q
Need to generate demand D = max ( X , 0)
So need to generate X ~ normal ( = 135.7, = 27.1)
(Much) ahead Sec. 12.2, generating random variates
In this case, generate X = -1,(U)
U is a random number distributed uniformly on [0, 1] (Sec. 12.1)
, is cumulative distribution function of normal (, ) distribution
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Newsvendor Problem Excel
All files in book: [Link]/kelton,
File [Link]
Student Edition, [Link]
Input parameters in cells B4 B8 (blue)
Trial values for q in row 2 (pink)
Day number (1, 2, ..., 30) in column D
Demands in column E for each day:
= MAX(ROUND(NORMINV(RAND(), $B$7, $B$8), 0), 0)
Rounding
function
RAND() is volatile
so regenerates on
any edit, or F9 key
-1
U(0, 1)
random number
X ~ normal (, )
$ pins down following
column or row when
copying formula
Round to
nearest
integer
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
MAX 2nd
argument
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Simulating with Spreadsheets:
Newsvendor Problem Excel (contd.)
For each q:
Sold column: number of papers sold that day
Scrap column: number of papers scrapped that day
Profit column: profit (+, , 0) that day
Placement of $ in formulas to facilitate copying
At bottom of Profit columns (green):
Average profit over 30 days
Half-width of 95% confidence interval on E(W(q))
Estimate of P(W(q) < 0)
Value 2.045 is upper 0.975 critical point of t distribution with 29 d.f.
Plot confidence intervals as I-beams on left edge
Uses COUNTIF function
Histograms of W(q) at bottom
Vertical red line at 0, separates profits, losses
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Newsvendor Problem Results
Fine point used same daily demands (column E)
for each day, across all trial values of q
Would have been valid to generate them independently
Why is it better to use same demands for all q?
Results
Best q is about 140, maybe a little less
Randomness in all results (tap F9 key)
All demands, profits, graphics change
Confidence-interval, histogram plots change
Reminder that these are random outputs, random plots
Higher q more variability in profit
Histograms at bottom are wider for larger q
Higher chance of both large profits, but higher chance of loss, too
Risk/return tradeoff can be quantified risk taker vs. risk-averse
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Single-Server Queue Setup
Like hand simulation, but:
Interarrival times ~ exponential with mean 1/ = 1.6 min.
Service times ~ uniform on [a, b] = [0.27, 2.29] min.
Stop when 50th waiting time in queue is observed
i.e., when 50th customer begins service, not exits system
Watch waiting times in queue WQ1, WQ2, ..., WQ50
Important not watching anything else, unlike before
Si = service time of customer i,
Ai = interarrival time between custs. i 1 and i
Lindleys recursion (1952): Initialize WQ1 = 0,
WQi = max (WQi 1 + Si 1 Ai, 0), i = 2, 3, ...
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Single-Server Queue Simulation
Need to generate random variates: let U ~ U[0, 1]
All files in book: [Link]/kelton,
Student Edition, [Link]
File [Link]
Input parameters in cells B4 B6 (blue)
Exponential (mean 1/): Ai = (1/) ln(1 U)
Uniform on [a, b]:
Si = a + (b a) U
Some theoretical outputs in cells B8 B10
Customer number (i = 1, 2, ..., 50) in column D
Five IID replications (three columns for each)
IA = interarrival times, S = service times
WQ = waiting times in queue (plot, thin curves)
First one initialized to 0, remainder use Lindleys recursion
Curves rise from 0, variation increases toward right
Creates positive autocorrelation down WQ columns
Curves have less abrupt jumps than if WQis were independent
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Single-Server Queue Results
Column averages (green)
Average interarrival, service times close to expectations
Average WQi within each replication
Cross-replication (by customer) averages (green)
Not too far from steady-state expectation
Considerable variation
Many are below it (why?)
Column T, thick line in plot to dampen noise
Why no sample variance, histograms of WQis?
Could have computed both, as in newsvendor; two issues:
Nonstationarity what is a typical WQi here?
Autocorrelation biases variance estimate, may bias histogram if
run is not long enough
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Simulating with Spreadsheets:
Recap
Popular for static models
Add-ins @RISK, Crystal Ball
Inadequate tool for dynamic simulations if theres
any complexity
Extremely easy to simulate single-server queue in Arena
Chapter 3 main example
Can build very complex dynamic models with Arena most
of rest of book
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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Overview of a Simulation Study
Understand system
Be clear about goals
Formulate model representation
Translate into modeling software
Verify program
Validate model
Design experiments
Make runs
Analyze, get insight, document results
More: Chapter 13
Simulation with Arena, 6th ed. Chapter 2 Fundamental Simulation Concepts
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