We present a general recipe for constructing experiment design and analysis procedures that simultaneously provide indifference-zone selection and multiple-comparison inference for choosing the best among k simulated systems. We then exhibit two such procedures that exploit the...

Using common random numbers (CRN) in simulation experiment design is known to reduce the variance of estimators of differences in system performance. However, when more than two systems are compared, exact simultaneous statistical inference in conjunction with CRN is typically impossible. We...

In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure...

When the simulation department of Management Science was created in 1978 it ushered in an era of significant methodological advances in stochastic simulation. However, the foundation for the field---not just the work that has been published in Management Science---was provided by two papers...

New point and interval estimators for quantiles that employ a control variate are introduced. The properties of these estimators do not depend on the usual assumption of joint normality between the random variable of interest and the control. Illustrative examples for queueing and stochastic...