Industrial Engineering Department

Simulation Basics
Week 2

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Types of Simulation

Static or dynamics
Stochastic or deterministic
Discrete event or continuous

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Static versus Dynamic Simulation

A static simulation is one that is not based on time.

It often involves drawing random samples to generate
a statistical outcome, so it is sometimes called Monte
Carlo simulation.
Dynamic simulation includes the passage of time.
It looks at state changes as they occur over time.
A clock mechanism moves forward in time and state
variables are updated as time advances.
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Stochastic versus Deterministic

Simulation
Random
input

(a) deterministic simulation

Random
out-put

(b) stochastic simulation

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Simulation in which one or more input variables are random

are referred to as stochastic or probabilistic
A stochastic simulation produces output that is itself random.
Simulation having no input components that are random are
said to be deterministic.
A deterministic simulation will always produce the exact same
outcome no matter how many times it is run.
In stochastic simulation, several randomized runs or
replication must be made to get an accurate estimate because
each run varies statistically.
Performance estimates for stochastic simulations are obtained
by calculating the average value of performance metric
accross all of the replication.
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Random Behavior

Natural behavior
Values vary within a given range and
according to a probability distribution.
Probability distributions are useful for
predicting the values, where these values are
random variables.

Depend on the type of distribution and their

parameters.
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Probability distributions may be either discrete

or continuous.
A discrete distribution represents a finite or
countable number of possible values.

The number of items in a lot

A continuous distribution represents a

continuum of values

Processing time
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An example of a discrete probability function

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An example of a continuous probability function

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Simulating Random Behavior

One of the most powerful features of

simulation

The ability to mimic random behavior.

Simulating random behavior requires that a

method be provided to generate random
numbers as well as for generating random
variates based on a given probability
distribution.
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Generating Random Numbers

Random behavior is imitated in simulation by

using a random number generator.
Random number generator is responsible for
producing this stream of independent and
uniformly distributed numbers.

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The U(0, 1) distribution of a random

number generator

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The numbers produced by a random number

generator are not random in the truest sense.

The generator can produce the same sequence of

numbers again and again, which is not indicative
of random behavior.
They are often referred to as pseudo-random
number generators.

Good pseudo-random number generators can

pump out long sequences of numbers that pass
statistical tests for randomness (the numbers
are independent and uniformly distributed).
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Linear Congruential Generators (LCG)

The most common method for generating

random numbers
A sequence of integers Z1, Z2, Z3, ... is defined
by the recursive formula:
Z i aZ i 1 c mod m
a : the multiplier;
m : the modulus;

c : the increment;
Z0 : the seed or starting
value;
a,
c,
m
>
0
and
integer
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The Zi values are bounded by 0 Zi m 1

and are uniformly distributed in the discrete
case.
The continuous version of the uniform
distribution with values ranging between 0 and
1 can be obtained by
Zi
U i , i 1,2,3,
m
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Example of LCG

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The maximum cycle length that an LCG can

achieve is m.
To realize maximum cycle length, select the
values of a, c, and m carefully (Pritsker 1995)

m = 2b where b is determined based on the

number of bits per word on the computer being
used (for computer with 32 bits, b = 31)
c and m such that their greatest common factor is
1.
a = 1 + 4k, where k is an integer.
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Frequently, the long sequence of random number is

subdivided into smaller segments referred to as
streams.
To subdivide the generators sequence of random
numbers into streams, it is need:

to decide how many random numbers to place in each

stream
to generate the entire sequence of random numbers (cycle
length) produced by the generator and record the Zi values
that mark the beginning of each stream.

Each stream has its own starting or seed value.

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There are two types of LCG:

Mixed LCG:

Mixed LCG
Multiplicative LCG
c>0

Multiplicative LCG

c=0

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Other kinds of random generators

(see Kelton pp.431-434)

More General Congruences

Composite Generators

Tauswarthe and Related Generators

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Testing Random Number Generators

The numbers produced by the random number

generator must satisfy two properties:

Independent
Uniformly distributed between zero and one

Generate a sequence of random numbers:

U1, U2, U3, ... .

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The hypothesis for testing the independence

property:
H0: Ui values from the generator are independent
H1: Ui values from the generator are not independent

The most common statistical method

the run test

the runs above and below the median test
the runs up and down test
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The hypothesis for testing the uniformly

property:
H0: Ui values are U(0, 1)
H1: Ui values are not U(0, 1)

The most common statistical methods:

The Kolmogorov-Smirnov test

The chi-square test

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Generating Random Variates

Methods for generating random variates (see

Kelton Chap.8)

Inverse transformation
Composition
Convolution
Acceptance-Rejection
Methods employing special properties

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Inverse Transformation Method

Continuous distribution

For a given probability density function f(x), find

the cumulative distribution function of X, i.e., F(x)
= P(X x).
Set U = F(x), where U is uniform (0, 1) and solve
for x.
Solving for x yields x = F-1(U).
The equation x = F-1(U) transforms U into a value
for x that conforms to the given distribution f(x).
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Inverse transformation for continuous distribution

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Generating variates from the exponential

distribution with mean .

The probability density function f(x):

1 x /
, x0
e
f x
0,
elsewhere

The cumulative distribution function F(x):

1 e x / , x 0
F x
elsewhere
0,
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Setting U = F(x) and solving for x yields:

U 1 e x /

e x / 1 U

ln e x / ln 1 U
x ln 1 U

x ln 1 U

The random variate x is exponentially distributed

with mean .
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U1 0.27 x1 2 ln1 0.27 0.63

U 2 0.89 x2 2 ln 1 0.89 4.41

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Discrete distribution

For a given probability mass function p(x), find

the cumulative distribution function of X, i.e.,
F(x) = P(X x).
It is assumed that X take on only the values x1,
x2, ... where x1 < x2 < ... .
Algorithm:

Generate U ~ U(0, 1)
Determine the smallest positive integer I such that U
F(xI), and return X = XI.
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Inverse transformation for discrete distribution

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Generating variates from the following

probability mass function (arbitrary discrete
distribution):
0.10, x 1

p x P X x 0.30, x 2
0.60, x 3

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The cumulative distribution function F(x)

U1 = 0.27, because 0.10 < U1 0.40 then x1 = 2

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Algorithms for generating variates from other

distributions, see Law and Kelton, Simulation
Modeling and Analysis, Chapter 8.

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Automatic teller machine (ATM) system

What type of data required ?

What performance measurement to be analyzed ?
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TIME CALCULATION
ArrivalTime (i) = ArrivalTime (i 1) + InterarrivalTime (i)
If ArrivalTime (i) < DepartureTime (i 1) then
BeginServiceTime (i) = DepartureTime (i 1)
else
BeginServiceTime (i) = Arrival (i)
DepartureTime (i) = BeginServiceTime (i ) + ServiceTime (i)
TimeInQueue (i) = BeginServiceTime (i) ArrivalTime (i)
TimeInSystem (i) = DepartureTime (i) ArrivalTime (i)
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A Spreadsheet Simulation

A single-server queuing system (i.e., ATM

system)

Queuing model : (M/M/1): (FIFO//)

Inter-arrival time ~ exponential distribution with
mean = 3.0 minutes
Service time ~ exponential distribution with mean
= 2.4 minutes.

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Inter-arrival times (X1i):

Z10 = 3
Z1i = (21 * Z1i-1 + 3) mod (128)
U1i = Z1i / 128
X1i = -3.0 ln (1 U1i)

Service times (X2i):

Z20 = Z125
Z2i = (21 * Z2i-1 + 3) mod (128)
U2i = Z2i / 128
X2i = -2.4 ln (1 U2i)
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Simulation Replications and

Output Analysis

The spreadsheet simulation of the first 25

customers to arrive to the ATM system
The simulation output gives:

average time in queue = 1.94 minute

average time in system = 4.26 minute

These results represent only one possible value

of each performance measure.
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The inter-arrival times of customers and their

service times are random variables, then the
output of the simulation model is also random.
The 2nd replication change the seed values
Z10 = 29
Z20 = Z125 = 92

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Summary of ATM system simulation output (for

two replications)

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Generating Random Variates

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Uniform

1.

Generate U ~ U(0,1)
Return X = a + (b a)U

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Uniform

The distribution function of a U(a, b) random

variable is easily inverted by solving u = F(x)
for x to obtain, for 0 u 1,

Algorithm:
1.
2.

Generate U ~ U(0, 1)
Return X = a + (b a)U

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Exponential
Inverse-transform algorithm:
1.
Generate U ~ U(0, 1)
2.
Return X = ln (1-U)

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m-Erlang

If X is an m-Erlang random variable with mean

, it can be written X = Y1 + Y2 + ... + Ym,
where Yis are IID exponential random
variable, each with mean /m.
Algorithm:
1.

Generate U1, U2, ..., Um as IID U(0, 1)

2.

Return

X
ln
m

U
i

i 1

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Weibull
X~
Algorithm:

1.
2.

Generate U ~ U(0, 1)
Return

X lnU

1/

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Normal

Given X ~ N(0, 1), X ~ N(, ) can be obtained

by setting X = + X.
Algorithm:
1.

2.

Generate U1 and U2 as IID U(0, 1), let Vi = 2Ui 1

for i = 1, 2; and let W = V12 + V22.
If W > 1, go back to step 1. Otherwise, let
Y 2 ln W W , X1 = V1Y and X2 = V2Y.
Then X1 and X2 are IID N(0, 1) random variables.
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Lognormal
If Y ~ N(, 2) then eY ~ LN(, 2).
Algorithm:
1.
Generate Y ~ N(, 2).
2.
Return X ~ eY.

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Generating Discrete Random Variates

Bernoulli
Discrete uniform
Binomial
Geometric
Negative binomial
Poisson

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Binomial
Algorithm:
1.
Generate Y1, Y2, ..., Yt as IID Bernoulli(p)
random variates.
2.
Return X = Y1 + Y2 + ...,+ Yt

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Bernoulli
Algorithm:

Generate U ~ U(0, 1).

If U p, return X = 1. Otherwise, return

X = 0.

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Discrete Uniform
Algorithm:

Generate U ~ U(0, 1).

Return X = i + [(j i + 1)U]

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Geometric
Algorithm:
1.
Generate U ~ U(0, 1)
2.
Return X = [ln U/ln(1 p)]

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Negative Binomial
Algorithm:
1.
Generate Y1, Y2, ..., Ys as IID geom(p) random
variates.
2.
Return X = Y1 + Y2 + ...,+ Ys

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Poisson
Algorithm:
1.
Let a = e, b = 1, and i = 0.
2.
Generate Ui+1 ~ U(0, 1) and replace b by
bUi+1. If b < a, return X = i. Otherwise, go to
step 3.
3.
Replace i by i + 1 and go back step 2.

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Group Assignment#2

Develop Simulation by using ms-Excell

2 ATM machines (identical)

1 Queuing, FIFO

50 customers

Inter-arrival time ~ exponential distribution with mean = 2.0

minutes

Service time ~ exponential distribution with mean = 2.4

minutes.
Analyze the simulation result
Report should be submitted Patrisya: Next week from
(Thursday) hardcopy & softcopy
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