A Doubly Stochastic Simulator with Applications in Arrivals Modeling and Simulation

Abstract

For several areas in the domain of operations research and management science, such as service, logistics and supply chain, and financial systems, the randomness of arrivals is one primary source of uncertainty. Appropriately modeling, statistically characterizing, and efficiently simulating the arrival processes are critical for policy and performance evaluation in the related systems. Classic Monte Carlo simulators have advantages in capturing the interpretable “physics” of a stochastic object, whereas neural network–based simulators have advantages in capturing less-interpretable complicated dependence within a high-dimensional distribution. In “A Doubly Stochastic Simulator with Applications in Arrivals Modeling and Simulation,” Zheng, Zheng, and Zhu propose a doubly stochastic simulator that integrates a stochastic generative neural network and a classic Monte Carlo Poisson simulator to utilize the advantages of both. They provide statistical guarantees and demonstrate empirical performances of the proposed methods.