Chapter 9

Input Modeling

Banks, Carson, Nelson & Nicol

Discrete-Event System Simulation

Purpose & Overview

„ Input models provide the driving force for a simulation model.
„ The quality of the output is no better than the quality of inputs.
„ In this chapter, we will discuss the 4 steps of input model
development:
Collect data from the real system
Identify a probability distribution to represent the input
process
Choose parameters for the distribution
Evaluate the chosen distribution and parameters for
goodness of fit.

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Data Collection
„ One of the biggest tasks in solving a real problem. GIGO –
garbage-in-garbage-out
„ Suggestions that may enhance and facilitate data collection:
Plan ahead: begin by a practice or pre-observing session, watch
for unusual circumstances
Analyze the data as it is being collected: check adequacy
Combine homogeneous data sets, e.g. successive time periods,
during the same time period on successive days
Be aware of data censoring: the quantity is not observed in its
entirety, danger of leaving out long process times
Check for relationship between variables, e.g. build scatter
diagram
Check for autocorrelation
Collect input data, not performance data

Identifying the Distribution

„ Histograms
„ Selecting families of distribution
„ Parameter estimation
„ Goodness-of-fit tests
„ Fitting a non-stationary process

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Histograms [Identifying the distribution]

„ A frequency distribution or histogram is useful in

determining the shape of a distribution
„ The number of class intervals depends on:
The number of observations
The dispersion of the data
Suggested: the square root of the sample size
„ For continuous data:
Corresponds to the probability density function of a theoretical
distribution
„ For discrete data:
Corresponds to the probability mass function
„ If few data points are available: combine adjacent cells to
eliminate the ragged appearance of the histogram

Histograms [Identifying the distribution]

„ Vehicle Arrival Example: # of vehicles arriving at an intersection

between 7 am and 7:05 am was monitored for 100 random workdays.
Arrivals per
Period Frequency
0 12
1 10
2 19
3 17 Same data
4 10 with different
5 8 interval sizes
6 7
7 5
8 5
9 3
10 3
11 1
„ There are ample data, so the histogram may have a cell for each
possible value in the data range

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Selecting the Family of Distributions
[Identifying the distribution]

„ A family of distributions is selected based on:

The context of the input variable
Shape of the histogram
„ Frequently encountered distributions:
Easier to analyze: exponential, normal and Poisson
Harder to analyze: beta, gamma and Weibull

Selecting the Family of Distributions

[Identifying the distribution]

„ Use the physical basis of the distribution as a guide, for

example:
Binomial: # of successes in n trials
Poisson: # of independent events that occur in a fixed amount of
time or space
Normal: dist’n of a process that is the sum of a number of
component processes
Exponential: time between independent events, or a process time
that is memoryless
Weibull: time to failure for components
Discrete or continuous uniform: models complete uncertainty
Triangular: a process for which only the minimum, most likely,
and maximum values are known
Empirical: resamples from the actual data collected
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Selecting the Family of Distributions
[Identifying the distribution]

„ Remember the physical characteristics of the process

Is the process naturally discrete or continuous valued?
Is it bounded?
„ No “true” distribution for any stochastic input process
„ Goal: obtain a good approximation

Quantile-Quantile Plots [Identifying the distribution]

„ Q-Q plot is a useful tool for evaluating distribution fit

„ If X is a random variable with cdf F, then the q-quantile of X is
the γ such that
F( γ ) = P(X ≤ γ ) = q, for 0 < q < 1

When F has an inverse, γ = F-1(q)

„ Let {xi, i = 1,2, …., n} be a sample of data from X and {yj, j = 1,2,
…, n} be the observations in ascending order:

 j - 0.5 
y j is approximately F -1  
 n 

where j is the ranking or order number

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5
Quantile-Quantile Plots [Identifying the distribution]

„ The plot of yj versus F-1( (j-0.5)/n) is

Approximately a straight line if F is a member of an appropriate
family of distributions
The line has slope 1 if F is a member of an appropriate family of
distributions with appropriate parameter values

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Quantile-Quantile Plots [Identifying the distribution]

„ Example: Check whether the door installation times follows a

normal distribution.
The observations are now ordered from smallest to largest:

j Value j Value j Value

1 99.55 6 99.98 11 100.26
2 99.56 7 100.02 12 100.27
3 99.62 8 100.06 13 100.33
4 99.65 9 100.17 14 100.41
5 99.79 10 100.23 15 100.47

yj are plotted versus F-1( (j-0.5)/n) where F has a normal

distribution with the sample mean (99.99 sec) and sample
variance (0.28322 sec2)

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6
Quantile-Quantile Plots [Identifying the distribution]

„ Example (continued): Check whether the door installation

times follow a normal distribution.

Straight line,
supporting the
hypothesis of a
normal distribution

Superimposed
density function of
the normal
distribution

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Quantile-Quantile Plots [Identifying the distribution]

„ Consider the following while evaluating the linearity of a q-q

plot:
The observed values never fall exactly on a straight line
The ordered values are ranked and hence not independent,
unlikely for the points to be scattered about the line
Variance of the extremes is higher than the middle. Linearity of
the points in the middle of the plot is more important.
„ Q-Q plot can also be used to check homogeneity
Check whether a single distribution can represent both sample
sets
Plotting the order values of the two data samples against each
other

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7
Parameter Estimation [Identifying the distribution]

„ Next step after selecting a family of distributions

„ If observations in a sample of size n are X1, X2, …, Xn (discrete
or continuous), the sample mean and variance are:
∑ ∑
n n
Xi X i2 − nX 2
X= i =1
S 2
= i =1
n n −1
„ If the data are discrete and have been grouped in a frequency
distribution:
∑ ∑
n n
j =1
fjX j j =1
f j X 2j − nX 2
X= S 2
=
n n −1

where fj is the observed frequency of value Xj

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Parameter Estimation [Identifying the distribution]

„ When raw data are unavailable (data are grouped into class
intervals), the approximate sample mean and variance are:

∑ ∑
c n
j =1
fjX j j =1
f j m 2j − nX 2
X= S2 =
n n −1

where fj is the observed frequency of in the jth class interval

mj is the midpoint of the jth interval, and c is the number of class intervals

„ A parameter is an unknown constant, but an estimator is a

statistic.

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8
Parameter Estimation [Identifying the distribution]

„ Vehicle Arrival Example (continued): Table in the histogram

example on slide 6 (Table 9.1 in book) can be analyzed to obtain:
n = 100, f1 = 12, X 1 = 0, f 2 = 10, X 2 = 1,...,

∑ f j X j = 364, and ∑ j =1 f j X 2j = 2080

k k
and j =1

The sample mean and variance are

364
X= = 3.64
100
2080 − 100 * (3.64) 2
S2 =
99
= 7.63

The histogram suggests X to have a Possion distribution

„ However, note that sample mean is not equal to sample variance.
„ Reason: each estimator is a random variable, is not perfect.
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Goodness-of-Fit Tests [Identifying the distribution]

„ Conduct hypothesis testing on input data distribution using:

Kolmogorov-Smirnov test
Chi-square test
„ No single correct distribution in a real application exists.
If very little data are available, it is unlikely to reject any candidate
distributions
If a lot of data are available, it is likely to reject all candidate
distributions

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9
Chi-Square test [Goodness-of-Fit Tests]

„ Intuition: comparing the histogram of the data to the shape of

the candidate density or mass function
„ Valid for large sample sizes when parameters are estimated by
maximum likelihood
„ By arranging the n observations into a set of k class intervals or
cells, the test statistics is:
k
(Oi − Ei ) 2 Expected Frequency
χ 02 = ∑
i =1
Ei
Ei = n*pi
where pi is the theoretical
Observed prob. of the ith interval.
Frequency Suggested Minimum = 5

which approximately follows the chi-square distribution with k-s-1

degrees of freedom, where s = # of parameters of the hypothesized
distribution estimated by the sample statistics.

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Chi-Square test [Goodness-of-Fit Tests]

„ The hypothesis of a chi-square test is:

H0: The random variable, X, conforms to the distributional
assumption with the parameter(s) given by the estimate(s).
H1: The random variable X does not conform.

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10
Chi-Square test [Goodness-of-Fit Tests]

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Chi-Square test [Goodness-of-Fit Tests]

„ Vehicle Arrival Example (continued):

H0: the random variable is Poisson distributed.
H1: the random variable is not Poisson distributed.
xi Observed Frequency, Oi Expected Frequency, Ei (Oi - Ei)2/Ei Ei = np ( x)
0 12 2.6
7.87 e −α α x
1
2
10
19
9.6
17.4 0.15
=n
3 17 21.1 0.8
x!
4 19 19.2 4.41
5 6 14.0 2.57
6 7 8.5 0.26
7 5 4.4
8 5 2.0
9 3 0.8 11.62 Combined because
10 3 0.3
> 11 1 0.1 of min Ei
100 100.0 27.68

Degree of freedom is k-s-1 = 7-1-1 = 5, hence, the hypothesis is

rejected at the 0.05 level of significance.
χ 02 = 27.68 > χ 02.05,5 = 11.1
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Kolmogorov-Smirnov Test
[Goodness-of-Fit Tests]
„ Intuition: formalize the idea behind examining a q-q plot
„ Recall from Chapter 7.4.1:
The test compares the continuous cdf, F(x), of the hypothesized
distribution with the empirical cdf, SN(x), of the N sample
observations.
Based on the maximum difference statistics (Tabulated in A.8):
D = max| F(x) - SN(x)|
„ A more powerful test, particularly useful when:
Sample sizes are small,
No parameters have been estimated from the data.
.

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p-Values and “Best Fits”

[Goodness-of-Fit Tests]

„ p-value for the test statistics

The significance level at which one would just reject H0 for the
given test statistic value.
A measure of fit, the larger the better
Large p-value: good fit
Small p-value: poor fit

„ Vehicle Arrival Example (cont.):

H0: data is Possion
2
Test statistics: χ 0 = 27.68 , with 5 degrees of freedom
p-value = 0.00004, meaning we would reject H0 with 0.00004
significance level, hence Poisson is a poor fit.

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EAR(1) Time-Series Input Models
[Multivariate/Time Series]

„ Consider the time-series model:

φX , with probability φ
X t =  t −1 for t = 2,3,...
φX t −1 + ε t , with probability 1-φ
where ε 2 , ε 3 , … are i.i.d. exponentially distributed with µ ε = 1/λ, and 0 ≤ φ < 1

„ If X1 is chosen appropriately, then

X1, X2, … are exponentially distributed with mean = 1/λ
Autocorrelation ρh = φh , and only positive correlation is allowed.
„ To estimate φ, λ :
côv( X t , X t +1 )
λˆ = 1 / X , φˆ = ρˆ =
σˆ 2
where côv( X t , X t +1 ) is the lag-1 autocovariance

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Summary
„ In this chapter, we described the 4 steps in developing input
data models:
Collecting the raw data
Identifying the underlying statistical distribution
Estimating the parameters
Testing for goodness of fit

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