An Efficient Morris Method-Based Framework for Simulation Factor Screening

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.