Professional Documents
Culture Documents
Graduate Program
University of Indonesia
25 October 2013
Manajemen Sistem Rekayasa & Nilai - 2013
Simulation Models
1
Iconic
Physical
Analog
Real
Analytical
System
Introduction to Simulation
2
Simulation Definition
3
Experiment
Programming
Simulation
Analysis
Modeling
Probability
&
Statistics
Examples of Simulation
5
Linear
Programming
Prescriptive
Describe
relationships and
provide information
for evaluation
Discrete or
Continuous
Deterministic: all data are
known or assumed to be
known with certainty
Probabilistic: some data
are described by
probability distributions
Model
Deterministic
or
Probabilistic
Descriptive
Queuing
models
Linear programming
(deterministic)
Queuing models
(probabilistic)
Evans & Olson, 1998
Random Numbers
One
otherwise
Result
Solution
Random
sampling
Probability
Distribution
function
Equations:
algebraic or
differential
Monte Carlo
simulation
Physical System
Generating
Random
Numbers
between 0
and 1
Calculating x
Using CDF
RV = 0 1
x = A + RV*(B-A)
1
RV
Normal Distribution
Mean = 5, SD = 1
1.0
0.9
0.8
0.7
0.6
CDF
0.382
0.88461
0.863247
0.03238
0.285043
0.371838
0.42616
0.991241
0.705039
0.300211
0.074343
0.487045
0.040712
0.100314
0.809107
0.756157
0.552324
0.970275
0.805658
0.114841
0.986297
0.500778
0.037965
0.584521
0.200476
0.300211
0.90405
0.516648
0.789026
0.619404
0.5
0.4
0.3
0.2
0.1
0.0
0
6
x
10
12
0.382
0.88461
0.863247
0.03238
0.285043
0.371838
0.42616
0.991241
0.705039
0.300211
0.074343
0.487045
0.040712
0.100314
0.809107
0.756157
0.552324
0.970275
0.805658
0.114841
0.986297
0.500778
0.037965
0.584521
0.200476
0.300211
0.90405
0.516648
0.789026
0.619404
4.699768
6.19835
6.095023
3.153089
4.432075
4.673009
4.813842
7.375655
5.538948
4.476205
3.555813
4.967521
3.257517
3.720236
5.874609
5.693994
5.131536
6.884846
5.862008
3.798821
7.205688
5.001951
3.225194
5.213473
4.160078
4.476205
6.304979
5.041741
5.803045
5.303914
Bins
7.
25
6.
75
6.
25
5.
75
5.
25
4.
75
4.
25
Frequency
3.
75
4.699768
6.19835
6.095023
3.153089
4.432075
4.673009
4.813842
7.375655
5.538948
4.476205
3.555813
4.967521
3.257517
3.720236
5.874609
5.693994
5.131536
6.884846
5.862008
3.798821
7.205688
5.001951
3.225194
5.213473
4.160078
4.476205
6.304979
5.041741
5.803045
5.303914
3.
25
0.382
0.88461
0.863247
0.03238
0.285043
0.371838
0.42616
0.991241
0.705039
0.300211
0.074343
0.487045
0.040712
0.100314
0.809107
0.756157
0.552324
0.970275
0.805658
0.114841
0.986297
0.500778
0.037965
0.584521
0.200476
0.300211
0.90405
0.516648
0.789026
0.619404
SIMPLE PROBABILISTIC
SIMULATIONS: 2 DICE
A = (Die No. 1 + Die No.2)
A<7
SIMULATIONS
THEORETICAL CALCULATION
RV1
Die No. 1
0.136265
1
0.19541
2
0.85876
6
0.637135
4
0.578234
4
0.409223
3
0.611133
4
0.188238
2
0.508499
4
0.091098
1
0.737358
5
0.056459
1
0.363964
3
0.243812
2
0.895169
6
0.85638
6
0.934294
6
RV2
Die No. 2
0.306009
2
0.600391
4
0.085177
1
0.079897
1
0.735679
5
0.141881
1
0.920103
6
0.262886
2
0.542375
4
0.106479
1
0.328867
2
0.003571
1
0.403638
3
0.380444
3
0.389203
3
0.915036
6
0.063875
1
No. Samples =
Total Samples =
p=
p=
A = 12
60
100
0.6
7/12
0.5833
A<7
A
3
6
7
5
9
4
10
4
8
2
7
2
6
5
9
12
7
3
100
0.03
1/36
0.0278
A = 12
1
1
1
1
0
1
0
1
0
1
1
1
1
1
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
25
Frequency
20
15
Die No. 1
Die No. 2
10
0
1
Value of Die
0.9
0.7
Probability A = 12
Probability A <7
0.8
0.6
0.5
0.4
0.3
0.1
0.2
0.1
0
0.01
1
10
100
No. Samples
1000
10000
10
100
No. Samples
1000
10000
Probability
Rule of Thumb:
As a Minimum =
10 Samples Meeting
Criterion
0.1
0.01
1
10
100
1000
10000
ENGINEERING ECONOMY
Initial Investment*
Annual Maintenance
Total
Design A
(4,074,088)
(1,500,000)
(5,574,088)
Design B
(426,209)
(150,000)
(576,209)
Annual Benefits
6,500,000
650,000
Benefit/Cost Ratio
1.17
1.13
* Note:
Initial Investment = (40,000,000)
i=
8%
n=
20
Annual Worth = (4,074,088)
(4,000,000)
4%
12
(426,209)
Initial
Rate
Investment
Min = 36000000 6.00%
Max = 44000000 10.00%
0.382
0.014
0.032
0.554
0.426
0.952
0.3
0.064
0.041
0.776
0.756
0.555
0.806
0.762
0.501
0.672
0.101
0.407
0.164
0.357
0.304
0.053
0.75
0.358
0.231
0.68
0.627
0.181
0.262
0.738
0.675
0.732
0.596
0.863
0.22
0.372
0.976
0.705
0.351
0.487
0.005
0.809
0.174
0.97
0.178
0.986
0.49
0.585
Annual
Worth
Annual
Maintenance
1350000
1650000
Annual
Cost
Annual
Benefit
5850000
7150000
B/C Ratio
Prob of Failure
0.06
Average = 39975895
Min = 36113773
Max = 43923582
8.02%
6.02%
9.90%
4086120
3187186
4978663
1510867
1351492
1647977
5596987
4642614
6504055
6571531
5860633
7148334
1.183707
0.906326
1.481975
0.899
0.139
0.017
0.356
0.807
0.817
0.776
0.511
0.926
0.724
0.405
0.687
0.867
0.926
0.146
0.152
6.40%
7.63%
6.66%
7.43%
7.22%
6.21%
9.00%
7.43%
6.92%
8.72%
8.51%
6.72%
7.05%
8.95%
8.70%
8.93%
3517241
3577709
3331766
3944536
3782525
3868671
4207016
3563465
3408363
4531116
4445346
3736059
4021760
4595839
4289219
4508568
1528945
1608974
1415883
1461551
1642712
1561512
1455445
1496113
1351492
1592732
1402095
1641082
1403386
1645889
1496947
1525356
5046186
5186683
4747649
5406087
5425238
5430182
5662461
5059579
4759855
6123848
5847441
5377141
5425146
6241728
5786166
6033924
7018838
6030160
5872217
6312282
6898665
6911480
6858356
6514580
7053989
6791624
6376237
6743023
6976783
7053275
6039523
6047894
1.390919
1.162623
1.236868
1.167625
1.271588
1.27279
1.211197
1.287574
1.481975
1.109045
1.090432
1.254016
1.286008
1.13002
1.043787
1.002315
39056001
36115970
36259041
40429090
39409284
43613514
38401685
36512467
36325694
42205512
42049257
40441298
42445265
42092471
40006226
41372478
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
RISK ASSESSMENT
Series Networks
47
1
2
3
4
5
6
7
8
A
B
C
Reliability
0.8521
0.9712
0.9357
Probability of Failure
0.1479
0.0288
0.0643
Probability
0.7743
0.0532
0.0230
0.1344
0.0016
0.0092
0.0040
0.0003
Sum
0.7743
0.2257
SIMULATIONS
THEORETICAL
RV1
0.136265
0.19541
0.85876
0.637135
0.578234
0.409223
0.611133
0.188238
0.508499
0.091098
0.737358
0.056459
0.363964
0.243812
0.895169
0.85638
0.934294
RV2
0.306009
0.600391
0.085177
0.079897
0.735679
0.141881
0.920103
0.262886
0.542375
0.106479
0.328867
0.003571
0.403638
0.380444
0.389203
0.915036
0.063875
No. Samples =
Total Samples =
p=
p=
RV3
0.382
0.100681
0.596484
0.899106
0.88461
0.958464
0.014496
0.407422
0.863247
0.138585
0.245033
0.045473
0.03238
0.164129
0.219611
0.01709
0.285043
A
88
100
0.88
0.8521
As Scheduled
B
C
99
92
100
100
0.99
0.92
0.9712
0.9357
A
1
1
0
1
1
1
1
1
1
1
1
1
1
1
0
0
0
As Scheduled
B
C
1
1
1
1
1
1
1
1
1
1
1
0
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
System
79
100
0.79
0.7743
System
3
3
2
3
3
2
3
3
3
3
3
3
3
3
2
2
2
1
1
0
1
1
0
1
1
1
1
1
1
1
1
0
0
0
Series Networks
51
Parallel Networks
52
1
2
3
4
A
B
Reliability
0.7500
0.7500
Probability of Failure
0.2500
0.2500
Probability
0.5625
0.1875
0.1875
0.0625
Sum
0.9375
0.0625
0.141881 0.958464
SIMULATIONS:
PARALLEL
SYSTEM
0.920103
0.014496
0.262886 0.407422
0.542375 0.863247
SIMULATIONS
No. Samples =
0.106479 0.138585
Total Samples =
0.328867 0.245033
p=
0.003571 0.045473
0.403638 0.03238
THEORETICAL
p=
0.380444 0.164129
0.389203 0.219611
RV1
RV2
0.915036
0.01709
0.306009
0.382
0.063875 0.285043
0.600391
0.703116 0.100681
0.343089
0.085177
0.107089 0.596484
0.553636
0.079897
0.215461 0.899106
0.357372
0.735679
0.88461
0.963591 0.371838
0.141881
0.327219 0.958464
0.355602
0.920103
0.358287 0.014496
0.910306
0.262886
0.200842 0.407422
0.466018
0.542375
0.492874 0.863247
0.42616
0.106479
0.303873 0.138585
0.303903
0.328867
0.454756 0.245033
0.975707
0.003571
0.34257 0.045473
0.806665
0.403638
0.03238
0.870815 0.991241
0.380444 0.256264
0.164129
0.392895
1
0
1
A
1
79
1
100
1
0.79
1
1
0.75
1
1
A
0
1
1
1
1
1
0
1
0
1
1
1
1
1
1
1
0
1
0
1
1
B
0
72
1
100
1
0.72
1
1
0.75
1
1
B
1
1
1
1
0
1
0
1
0
1
1
0
1
0
1
1
1
0
1
0
1
0
1
1
0
1
0
2
0
1 System 0
8
2
0
100
2
0
0.08
2
0
0.9200
2
0
0.9375
2
0
2
0
1 System 0
2
0
2
0
2
0
1
0
2
1
0
1
0
2
1
0
2
0
1
0
2
2
0
2
0
1
2
0
1
2
0
0
1
0
2
Parallel Networks
57
Load, F
sQ
Capacity, Q
sF
Load, F
sQ
Capacity, Q
mF
mF
bability Density Function
sF
mQ
Probability of Failure
mQ
pf
mM
Safety Margin, M = Q - F
C: C = 30 C = 6
D:D = 20 D = 6
M=CD
M = 10
M = 8.49
= M / M = 10 / 8.49
= 1.18 probability of failure = 0.1193
0.863247
0.03238
0.285043
0.371838
600.42616
0.991241
0.705039
0.300211
0.074343
0.487045
0.040712
0.100314
0.809107
0.382
0.756157
0.88461
0.552324
0.863247
0.970275
0.03238
0.805658
0.285043
0.114841
0.371838
0.986297
0.42616
0.500778
0.991241
0.037965
0.705039
0.138585
0.164129
0.343089
0.355602
0.303903
0.256264
0.816523
0.750206
0.198431
0.511216
0.23072
0.256691
0.724326
0.100681
0.626514
0.958464
0.711509
0.138585
0.686941
0.164129
0.262215
0.343089
0.059511
0.355602
0.925596
0.303903
0.674978
0.256264
0.796258
0.816523
36.57014
18.91853
26.59245
C28.03806
30
28.88305
6
44.25393
0.2
33.23369
26.85723
30.09954
21.33488
6.015097
29.80512
0.19984
19.5451
22.32142
35.24765
28.19861
34.16397
37.1901
30.78921
36.57014
41.30908
18.91853
35.17205
26.59245
22.79293
28.03806
43.23413
28.88305
30.01171
44.25393
19.35116
33.23369
13.4798
14.13422
17.57571
D17.77856
20
16.92076
6
16.07056
0.3
25.41315
24.05083
19.78092
14.91657
6.007956
20.1687
0.303725
15.58114
16.07852
23.57445
12.3339
21.93582
30.3988
23.34679
13.4798
22.92319
14.13422
16.18081
17.57571
10.64665
17.77856
28.66253
16.92076
22.72221
16.07056
24.96999
25.41315
23.09034
4.784312
9.016736
M 10.2595
=C-D
10
11.9623
8.485281
28.18337
0.848528
7.820541
2.806399
10.31861
6.418305
8.722103
9.636423
0.845279
3.963966
6.242898
11.6732
15.86471
12.22815
6.791303
7.442428
23.09034
18.38589
4.784312
18.99124
9.016736
12.14628
10.2595
14.5716
11.9623
7.289497
28.18337
-5.618825
7.820541
0
0
0
0
0
0
0
0
0.115
0
0
1.20036
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
300
250
250
Frequency
350
200
150
200
150
100
100
50
50
0
5
15
25
35
C
45
55
65
15
250
200
Frequency
Frequency
65
350
150
100
50
0
-20
-10
10
20
M=D-C
30
40
50
25
35
D
45
55
65
Risk Calculation
Risk Calculation (B)
Pipeline:
PDF
20
22
24
26
28
30
32
34
36
38 t
12,000,000
t > 28
penalty
1,000,000
per day
10,000,000
8,000,000
Penalty
6,000,000
4,000,000
2,000,000
18
20
22
24
26
28
30
Duration (day)
32
34
36
38
Risk Calculation
67
f(t) = 0.0833
C(t) = 1,000,000 (t-28)
34
Risk = 28 f(t) C(t) dt
34
Risk = 28 (0.0833)[1,000,000 (t-28)] dt
2
34
Risk = (41,667 t 2,333,333 t) |28
Risk = -31,166,667 -32,666,667
Risk = 1,500,000
SIMULATIONS
No. Samples =
Total Samples =
p=
THEORETICAL
p=
RISK
Average =
Fail?
1482
3000
0.494
Penalty
0.5
1469726.9
Min = 22.01941
Max = 33.99854
Mean = 27.96697
RV1A
0.148473
0.037507
0.300363
0.074923
Days
23.78167
22.45009
25.60436
22.89908
Fail?
0
0
0
0
Penalty
0.0
0.0
0.0
0.0
SIMULATIONS
Fail?
No. Samples =
1559
Total Samples =
3000
p = 0.519667
THEORETICAL
p=
RISK
Average =
Penalty
0.5
1522088.3
Min = 22.00183
Max = 33.99268
Mean = 28.11062
RV1B
Days
0.352824 26.23389
0.974761 33.69713
0.949675 33.3961
0.908567 32.9028
Fail?
0
1
1
1
Penalty
0.0
5697134.3
5396099.7
4902798.5
RV1A
RV1B
1003427
1233486
1323745
1448791
1440903
1444841
1468108
1478144
1469727
1818366
1782784
1629570
1545574
1508369
1545439
1555730
1523507
1522088
2000000
1500000
Risk
No.
Samples
50
100
250
500
1000
1500
2000
2500
3000
1000000
500000
0
0
1000
2000
No. Samples
3000
2000000
1500000
Risk
Small number
RV RV1B
No. of RV1A
Samples
effect of
RV
sets may be
50 1003427 1818366
significant100 1233486 1782784
250 1323745 1629570
Large number
RV 1545574
500of1448791
1440903 1508369
effect of 1000
RV
sets
not
1500 1444841 1545439
significant2000 1468108 1555730
2500 1478144 1523507
3000 1469727 1522088
Number of RV should
sufficient to ensure the
effect of RV sets
insignificant
1000000
500000
0
0
1000
2000
No. Samples
3000
DECISION MAKING
Tornado Diagram
Cost of CM1
Cost of CM2
Probability of Successful CM2
Cost of Unsuccessful CM2
Decision to Make:
Constr. Method 1 or
Constr. Method 2
= -75 -125
= -50 -110
= 0.5 0.7
= -20 -50
Method 1; -100m
Method 2;
-80m
A = Constr.Method 1
= Constr.Method 2
E = Successful; = Unsuccessful
L = Cost
Successful; 0
p = 0.6
[-100]
[-80]
[0.6]
[-35]
-100m
-80m
[= (-80m)
+ 0]
Unsuccessful; -35m
-115m
p = 0.4
[= (-80m)
+ (-35m)]
A = Constr.Method 1
= Constr.Method 2
E = Successful; = Unsuccessful
L = Cost
Tornado Diagram
75
Decision to Make:
Constr. Method 1 or
Constr. Method 2
Method 1; -100m
Method 2;
-80m
A = Constr.Method 1
= Constr.Method 2
E = Successful; = Unsuccessful
L = Cost
Successful; 0
p = 0.6
-100m
-80m
[= (-80m)
+ 0]
Unsuccessful; -35m
-115m
p = 0.4
[= (-80m)
+ (-35m)]
Simulations
76
0.382
0.885
0.863
0.032
0.285
0.372
0.426
0.991
0.705
0.3
0.074
0.487
0.041
0.1
0.101
0.958
0.139
0.164
0.343
0.356
0.304
0.256
0.817
0.75
0.198
0.511
0.231
0.257
0.596
0.014
0.245
0.22
0.554
0.91
0.976
0.952
0.973
0.351
0.064
0.373
0.005
0.776
0.899
0.407
0.045
0.017
0.357
0.466
0.807
0.053
0.466
0.776
0.358
0.986
0.926
0.68
94.1
119.23
118.16
76.619
89.252
93.592
96.308
124.56
110.25
90.011
78.717
99.352
77.036
80.016
89.05
64.038
123.96
56.041
107.51
58.315
59.848
70.585
71.336
68.234
65.376
98.991
95.012
61.906
80.673
63.843
65.401
68.174
116.06
71.742
73.051
86.273
90.581
84.921
89.132
110.25
90.011
71.296
90.122
70.186
80.016
37.895
20.435
27.351
26.588
36.609
47.309
49.271
48.551
49.175
30.544
21.922
31.204
20.149
43.271
0.6798
0.5815
0.5091
0.5034
0.5715
0.5932
0.6613
0.5107
0.5933
0.6551
0.5717
0.6972
0.6852
0.6359
68.174
116.06
71.742
73.051
86.273
90.581
84.921
89.132
118.99
105.55
71.296
90.122
70.186
81.155
Prob of "CM2" =
0.62
CM2
CM2
CM2
CM2
CM2
CM2
CM2
CM2
CM1
CM1
CM2
CM2
CM2
CM1
1
1
1
1
1
1
1
1
0
0
1
1
1
0
18
16
12
10
8
6
4
2
95
10
0
10
5
11
0
11
5
12
0
12
5
90
85
80
75
70
65
No. Samples
14
Minimum Cost
ETC.