50th ANNIVERSARY ARTICLE: Stochastic Simulation Research in Management Science

When the simulation department ofManagement 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 inManagement Science--was provided by two papers published long before simulation had its own department in the journal. We will review the seminal papers of Conway, Johnson, and Maxwell (1959) and Conway (1963), and then trace their impact through eight award-winning papers that appeared much later inManagement Science.

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[2]  B. Nelson,et al.  Using common random numbers for indifference-zone selection and multiple comparisons in simulation , 1995 .

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[4]  Bruce W. Schmeiser,et al.  On choosing a single criterion for confidence-interval procedures , 2002, Proceedings of the Winter Simulation Conference.

[5]  Xi-Ren Cao,et al.  Convergence properties of infinitesimal perturbation analysis , 1988 .

[6]  P. Glynn,et al.  Discrete-time conversion for simulating semi-Markov processes , 1986 .

[7]  W. Whitt.  Planning queueing simulations , 1989 .

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[9]  Perwez Shahabuddin,et al.  Importance sampling for the simulation of highly reliable Markovian systems , 1994 .

[10]  Stephen S. Lavenberg,et al.  Statistical Results on Control Variables with Application to Queueing Network Simulation , 1982, Oper. Res..

[11]  P. L’Ecuyer,et al.  A Unified View of the IPA, SF, and LR Gradient Estimation Techniques , 1990 .

[12]  P. Glasserman,et al.  Variance Reduction Techniques for Estimating Value-at-Risk , 2000 .

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[15]  W.,et al.  Conditions for the Applicability of the Regenerative Method* , 1993 .

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[17]  Robert J. Wilson,et al.  Variance reduction in queueing simulation using generalized concomitant variables , 1984 .

[18]  Robert G. Sargent.  Event Graph Modelling for Simulation with an Application to Flexible Manufacturing Systems , 1988 .

[19]  George S. Fishman,et al.  The Analysis of Simulation-Generated Time Series , 1967 .

[20]  Philip Heidelberger,et al.  A Unified Framework for Simulating Markovian Models of Highly Dependable Systems , 1992, IEEE Trans. Computers.

[21]  Stephen S. Lavenberg,et al.  A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations , 1981 .

[22]  S. Andradóttir.  Optimization of the transient and steady state behavior of discrete event systems , 1996 .

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[25]  R. Suri,et al.  Perturbation analysis gives strongly consistent sensitivity estimates for the M/G/ 1 queue , 1988 .

[26]  Bruce W. Schmeiser,et al.  Batch Size Effects in the Analysis of Simulation Output , 1982, Oper. Res..

[27]  Shane G. Henderson,et al.  Mathematics for simulation , 2000, Proceeding of the 2001 Winter Simulation Conference (Cat. No.01CH37304).

[28]  Richard E. Nance,et al.  Perspectives on the Evolution of Simulation , 2002, Oper. Res..

[29]  Richard W. Conway,et al.  Some Tactical Problems in Digital Simulation , 1963 .

[30]  D. Iglehart,et al.  Discrete time methods for simulating continuous time Markov chains , 1976, Advances in Applied Probability.

[31]  Michael C. Fu,et al.  Feature Article: Optimization for simulation: Theory vs. Practice , 2002, INFORMS J. Comput..

[32]  James R. Wilson,et al.  The efficiency of control variates in multiresponse simulation , 1986 .

[33]  L. Schruben,et al.  Properties of standardized time series weighted area variance estimators , 1990 .

[34]  D. Goldsman,et al.  ASAP2: an improved batch means procedure for simulation output analysis , 2002, Proceedings of the Winter Simulation Conference.

[35]  R. H. Smith.  Optimization for Simulation : Theory vs . Practice , 2002 .

[36]  J. Kleijnen.  Analyzing simulation experiments with common random numbers , 1988 .

[37]  L. Schruben.  A Coverage Function for Interval Estimators of Simulation Response , 1980 .

[38]  Stephen S. Lavenberg,et al.  Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems , 1979, Oper. Res..

[39]  Thomas H. Naylor,et al.  Verification of Computer Simulation Models , 1967 .

[40]  Averill M. Law,et al.  Confidence Intervals for Steady-State Simulations II: A Survey of Sequential Procedures , 1982 .

[41]  Donald L. Iglehart,et al.  Regenerative Simulation with Internal Controls , 1979, JACM.

[42]  William L. Maxwell,et al.  Some Problems of Digital Systems Simulation , 1959 .

[43]  Donald L. Iglehart,et al.  Importance sampling for stochastic simulations , 1989 .