An Efficient Morris Method-Based Framework for Simulation Factor Screening
Wen Shi, Xi Chen, Jennifer Shang
INFORMS Journal on Computing · 2019 · Volume 31 · Issue 4
Abstract
In this paper, we study the methodological underpinnings of the Morris elementary effects method, a model-free factor-screening technique originally proposed for deterministic simulation experiments, and develop an efficient Morris method–based framework (EMM) for simulation factor screening. Equipped with an efficient cluster-sampling procedure, EMM can simultaneously screen the main and interaction (or nonlinear) effects of all factors and control the overall false discovery rate at a prescribed level. Despite focusing on deterministic simulation experiments, we reveal the connections between EMM (also the Morris method) and other factor-screening methods, such as sequential bifurcation, and examine the resulting implications in the stochastic simulation setting under some commonly stipulated assumptions in design of experiments. Numerical experiments are presented to demonstrate the efficiency and efficacy of EMM.
Keywords
simulation, design of experiments, statistical analysis, factor screening, Morris method
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