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Fourier Trajectory Analysis For System Discrimination

Research output: Contribution to journalJournal articlepeer-review

Forthcoming
<mark>Journal publication date</mark>29/05/2021
<mark>Journal</mark>European Journal of Operational Research
Publication StatusAccepted/In press
<mark>Original language</mark>English

Abstract

With few exceptions, simulation output analysis has focused on static characterizations, to determine a property of the steady-state distribution of a performance metric such as a mean, a quantile, or the distribution itself. Analyses often seek to overcome diffculties induced by autocorrelation of the output stream. But sample paths generated by stochastic simulation exhibit dynamic behavior that is characteristic of system structure and associated distributions. In this paper, we explore these dynamic characteristics, as captured
by the Fourier transform of a dynamic steady-state simulation trajectory. We find that Fourier coefficient magnitudes can have greater discriminatory power than the usual test statistics, and with simpler analysis resulting from the statistical independence of coefficient estimates at different frequencies.