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Simulation Modelling Practice and Theory 89 (2018) 48–63

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Simulation Modelling Practice and Theory


journal homepage: www.elsevier.com/locate/simpat

An agent-monitored framework for the output-oriented design of


T
experiments in exploratory modelling

Enayat A. Moallemi , Sondoss Elsawah, Michael J. Ryan
Capability Systems Centre, School of Engineering and Information Technology, The University of New South Wales, Canberra, Australia

A R T IC LE I N F O ABS TRA CT

Keywords: Exploratory modelling is an approach for modelling under uncertainty based on the generation
Exploratory modelling and analysis of computational experiments. The results of exploratory modelling are sensitive to
Uncertainty the way that experiments are designed, such as the way that the uncertainty space is delineated.
Simulation This article introduces an agent-monitored framework—i.e. a design metaphor of the interactions
Design of experiments
among modellers and stakeholders and the simulation process—for controlling the design of
Scenario
Decision support
experiments based on monitoring model behaviour in the output space. To demonstrate the
benefits of the suggested framework in the exploratory modelling process, the article shows how
the use of the framework with an output-oriented approach informs the delineation of an ap-
propriate uncertainty space with an illustrative example in the decision-making context. The
article concludes that the design of experiments based on feedback from the output space can be
a useful approach: to control simulations in exploratory modelling; to build more confidence in
final results; and to inform the design of other aspects of experiments, such as selecting policy
levers and sampling method.

1. Introduction

1.1. Design of experiments in exploratory modelling

Exploratory modelling is a computational approach to modelling—in decision making, theory development, and other applica-
tions—under various forms of uncertainties in model input and model structure [2,3,32,40,44]. This approach deals with un-
certainties by running many computer simulations and by analysing the implications on final results of a variety of parametric and
non-parametric assumptions. At the core of exploratory modelling is the use of simulation models—models being conceptualised
either as fully parameterised sets of interconnected functions (e.g. model definition in [2]) or as a single model file (e.g. model use in
[33])—for the generation of an extensive database of computational experiments. Each experiment corresponds to one simulation run
which is set up based on one assumption from the input space (such as model file and input parameters) and represents the results of
the simulation in the output space (such as solutions in a decision problem or performance measures in a performance assessment).
Exploratory modelling uses generated experiments to assess possible impacts of a variety of assumptions from an input space on an
output space using a range of search strategies and analytical methods [33].
The ways that experiments—in relation to their input and output space—are designed and then generated have been discussed in
previous studies [8,33,34,37,53]. These studies have discussed the design of experiments in terms of: the selection of outcomes of
interest to analyse in the output space; the list of policy levers from the input space whose impacts need to be investigated; simulation


Corresponding author.
E-mail address: e.moallemi@unsw.edu.au (E.A. Moallemi).

https://doi.org/10.1016/j.simpat.2018.09.008
Received 12 February 2018; Received in revised form 7 September 2018; Accepted 14 September 2018
Available online 15 September 2018
1569-190X/ © 2018 Elsevier B.V. All rights reserved.
E.A. Moallemi et al. Simulation Modelling Practice and Theory 89 (2018) 48–63

model(s) (defined as a single or a group of model files in the input space) with which to generate experiments; a list of critical
uncertainty factors and an appropriate uncertainty space (i.e. range of variation for each uncertainty factor) over which policy levers
are investigated; and a sampling method and sample size to choose from the uncertainty space. An appropriate design of experiments
is critical as it affects the confidence of results and their interpretation [15]. The uncertainties caused by inconsistent methods,
assumptions, and boundaries can lead to confusion in the understanding of available information [46]. Different initial setups can
lead to different ensembles of experiments and various model behaviour in the output space, and therefore, to divergent (modelling)
insights and (decision) conclusions [54,56]. An appropriate design of experiments is also critical as it affects the computational
burden and simulation time [38].

1.2. Input-oriented design of experiments

Several decision-making and planning frameworks, which adopt exploratory modelling, are based on the generation and analysis
of computational experiments which need to be designed. Among them are several potential applications of exploratory modelling in
Robust Decision Making [43], Adaptive Policymaking [23], Dynamic Adaptive Policy Pathways [36], Multi-objective Robust Decision
Making [28], and a participatory exploratory modelling approach [53]. One common feature of these exploratory modelling ap-
plications is that the analysis of experiments within these frameworks is ‘goal-oriented’, in the sense that the ensemble of generated
experiments is analysed to serve a specific goal (or answer a specific question), i.e. to explain, to test, or to manage output(s) of
interest. Despite the goal-oriented process of exploratory modelling, experiments are often designed with an input-oriented approach
focusing on sampling from the input uncertainty space with limited knowledge about which areas of that uncertainty space could lead
to more interesting model behaviour and serve the goal of better modelling. An input-oriented approach can lead to missing some
exceptional model responses in models with non-linear behaviours when only a specific area of the input uncertainty space could
generate a wide spectrum of behaviours in the output space [26]. Further, the input-oriented approach could impose extra com-
putational burden when endeavouring to cover an unnecessarily, but safely, wide uncertainty space without considering the re-
levance of generated outcomes.
Experiments are also often designed with the modeller's interactions between the output space and input space—a back-and-forth
process when a number of experiments are being performed before finally settling on the set of experiments to use for analysis. These
interactions for enhancing the modeller's insights usually take place in an ad hoc manner, often implicitly and not reported in
discussion of the published results, which inhibits reproducibility of results and affects the model's credibility [11]. This implies the
lack of a systematic approach to learn from feedback between input and output spaces for informing the design of experiments as an
explicit step within the process of exploratory modelling.

1.3. Research aim

This article addresses the challenge of the input-oriented approach by developing an ‘agent-monitored framework’ to inform the
design of experiments in exploratory modelling. The agent-monitored framework adds to previous exploratory modelling research by
guiding and structuring the design of experiments in the modelling process through agent-monitored simulation; a modelling and
simulation concept where the deliberation, learning, and interaction of an agent with the simulation results are used as a design
metaphor to control the simulation process [60,66]. The agent is defined as a human (e.g. modeller), an autonomous computer entity,
or an interaction of both. This concept focuses on ‘agents for simulation’ as opposed to the prevalent use of ‘simulation of agents’ in
Agent-Based Modelling.
This agent can benefit from the computational discovery ability of computer and/or the cognitive capabilities of modeller for
informing the design of experiments through an ‘output-oriented’ knowledge processing of model results. The output-oriented ap-
proach is when modeller controls and sets up simulations through screening the model behaviour and learning from the output space
over time (see e.g. Yilmaz [66], Watson and Kasprzyk [64], and Islam and Pruyt [26]). The agent-monitored framework enables co-
evolution and symbiotic adaptation of the input space based on monitoring model behaviour (the output space). This leads to
designing experiments which are fit for the purpose of exploratory modelling and facilitate a more in-depth investigation of the model
behaviour with a more efficient computational process.
This idea of an agent controlling the simulation process builds on studies in the context of robust decision making by RAND
Corporation (e.g. [44]) where they place on the human in the loop process of exploratory modelling and emphasise on combining
machine and human capabilities interactively. These studies argue that model users should be also responsible for modelling and
control the computational process when they observe counterintuitive results based on their shared visions of the problem and model
behaviour. However, this discussion has remained mainly conceptually and has not been implemented so far.
We focus on the design of experiments in exploratory modelling for purposes of decision making and policy analysis where the
normative direction of the output space (i.e. which model behaviour is desired and what direction should be pursued) is meant to be
clearly stated in the problem formulation. We also demonstrate the application of this framework to the design of experiments in
terms of ‘delineating an appropriate uncertainty space’ . However, the structure of the suggested agent-monitored framework is
generic and can be extended and equipped with other methods to cope with the design of experiments in other aspects of experiments
(such as choosing sample size) too. This article discusses briefly how an output-oriented approach can inform the design of these
other aspects.

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1.4. Structure of the article

The rest of the article is structured as follows. Section 2 gives the background needed for this research with examples from exiting
literature on the design of experiments. Section 3 introduces the agent-monitored framework conceptually. Section 4 illustrates the
implementation of the framework for choosing an appropriate uncertainty space in a decision-making example. Section 5 discusses
the benefits of the output-oriented approach to other aspects of experiments. Section 6 discusses briefly some future research di-
rections.

2. Background

This section reviews the design of experiments with examples from the previous studies explicitly dealing with them.

2.1. Aspects of experiments to be designed

Researchers using exploratory modelling in the decision-making frameworks need to design experiments by organising the
available relevant knowledge. This knowledge can be classified into different aspects (such as choosing outcomes of interest and
specifying policy levers) as stated in Lempert et al. [44]. These aspects of experimental design are summarised as follows.

2.1.1. Outcomes of interest


Outcomes of interest are used in the exploratory modelling process as indicators for measuring a model behaviour of interest. This
behaviour can be in the form of a specific system performance represented in boxplots and Kernel Density Estimates (see e.g. [51]); a
minimum performance threshold expected from a system (see e.g. [10]); or the fulfilment of decision objective(s) in a decision-
making problem (see e.g. [28,52]. Outcomes can be used as a single measure or as collective measures, and with scalar or time series
values (noting that the use of time series values has been less common in exploratory modelling literature, except of some system
dynamics works (e.g. [34,51]). Choosing fit-for-purpose outcomes of interest is important in the design of experiments as the analysis
of selected outcomes conveys information regarding the goal of modelling and will be the basis for decision making.

2.1.2. Policy levers


Policy levers are potential decision alternatives available at the present time which shape a long-term future. These decision
alternatives can be represented as different sets of model files (e.g. two model files with feed-in tariff or emissions trading system
policy mechanisms in an energy transition case) or different values for key model variables (e.g. various rates of carbon tax in an
energy model). Earlier works on policy analysis often assumed a shortened list of policy levers and conducted the analysis by
assessing the impact of these pre-selected levers in the future. The selection of appropriate policy levers in the design of experiment is
important since not all initially chosen policy levers would lead to a robust and desired performance of model behaviour.

2.1.3. Simulation model


Exploratory modelling in the decision-making context uses a computational model to explore plausible futures and to assess the
impacts of policy actions in what-if scenarios. The model should be capable of representing the system in sufficient detail for the
particular goal of modelling. The model also needs to be fast and efficient in running many simulations in a short time. Haasnoot et al.
[21] argued that a fit-for-purpose model in exploratory modelling needs to integrate knowledge and methods from different disciplines
to represent the various dimensions of a system. They argued that the model also needs to be agile in the sense that it can run many
simulations under various assumptions quickly and with low computational burden. Developing (or choosing) a fit-for-purpose
simulation model in the design of experiments is significant as a model that is too abstract would not generate useful information for
addressing the goal of modelling and a model structure that is too detailed imposes a high computational burden on simulations.

2.1.4. Critical uncertainty factors


Exploratory modelling can cope with uncertainty factors exogenous or endogenous to the system, continuous or discrete, and
parametric or non-parametric uncertainties (such as variation in model structure) [39,62]. These uncertainty factors can represent
different techno-economic, social, cultural, and political characteristics. However, the inclusion of many uncertainty factors increases
the computational burden of the exploratory modelling process, which necessitates the selection of critical uncertainty factors.
Critical uncertainty factors are usually selected among those factors which are out of the control of decision makers and are highly
unpredictable and those whose variation significantly influences the model behaviour in the output space.

2.1.5. Uncertainty space


The uncertainty space, from which samples are drawn to run simulations in the exploratory modelling process, is hypothesised as
a multi-dimensional space based on the combination of identified critical uncertainty factors, each with an initial range of variation.
Delineating an appropriate uncertainty space is critical in the design of experiments because: (a) an uncertainty space that is too
broad imposes a high computational burden and generates very broad model behaviours which do not necessarily convey a useful
message to the modeller; (b) an uncertainty space that is too narrow increases the risk of missing some future possibilities and
drawing conclusions that are vulnerable to some unforeseen (future) circumstance(s).

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2.1.6. Sampling method and sample size


The sampling method defines the strategy of selecting random samples from the uncertainty space to run the simulation model
and to generate an ensemble of experiments for exploratory modelling. The sample size is the number of simulation runs ideally
needed to generate the desired diversity of model behaviour, including any exceptional behaviour of interest. Choosing the efficient
sampling method is a critical task since an inefficient sampling method will not contain samples of interesting areas of the uncertainty
space, which can result in some new unforeseen model behaviour. For example, sampling uniformly from the input uncertainty space
of a non-linear model—where the dynamic, complex, and uncertain nature of exploratory modelling problems can create non-linear
and unpredictable model response—may only generate a limited range of model behaviours and miss a certain behaviour of interest
in the output space [26]. Choosing a sufficient number of samples (the sample size) is also an important task as a high number of
experiments can increase the computational burden, and a low number of experiments leads to an inadequate resolution in the output
space, and subsequently to less-reliable conclusions.

2.2. Previous studies on designing experiments

The ways to design experiments have been discussed in different areas including in the Design of Experiments [30,31,55],
experiment description languages [15], model-driven engineering guidelines [60], Active Non-Linear Testing [49], and agent-
monitored simulation [66,67]. Sensitivity analysis (see e.g. Borgonovo and Plischke [8] and Pianosi et al. [56]) and uncertainty
estimation (see e.g. Beven and Binley [4]) are other areas that discuss ways which can be used in designing experiments; for example
for identifying critical uncertainty factors, uncertainty space and the size of samples. Apart from these broad areas, there are previous
studies which discussed the design of experiments in the context of exploratory modelling for planning and decision making—more
related to the focus of this article. In Table 1, we identify some of these studies, which considered potential feedback from the output
space for informing the initial design. The two following conclusions can be drawn from a review of examples in Table 1:

• The examples conducted the design of experiments in the early step(s) of the modelling process and then used feedback from the
later step(s) (e.g. analysis of the results) to modify this initial design. This can be seen as a ‘process thinking’ approach to the
design of experiments which mainly considers linear interaction between the early and later modelling steps. A different way of
looking at this interaction—as used in the suggested framework of this article—is through the concept of agent-monitored si-
mulation [66,67] where ‘systematic interactions’ between the initial design and outcomes are advocated using computational
tools and controlling agents.
• The examples used different ways to inform the design of experiments, such as sensitivity analysis for identifying critical un-
certainties and optimisation for searching for policy levers (i.e. policy discovery) and for searching over the uncertainty space (i.e.
extreme case scenario discovery). A generic framework with an output-oriented approach—as pursued in this article—can guide
the mixed-use of these various ways of informing the design of experiments and enhance computational discovery with human
common visions and human perception with quantitative evidences.

3. The agent-monitored framework for the design of experiments

We initially explain the generic structure of our suggested agent-monitored framework, which can be applicable to designing
different aspects of experiments. We then discuss one explicit application of the framework to the delineation of the uncertainty
space, on which we focus in this article.

3.1. The generic structure of the agent-monitored framework

A commonly-used process for exploratory modelling in the context of planning and decision-making can be found in the Robust
Decision Making framework [45]. It initially starts by problem formulation to characterise the design of experiments. It continues with
experiment generation where various model behaviours are generated by performing computational experiments using a simulation
model. These various model behaviours are explored and/or a particular behaviour of interest is further investigated by analysing the
ensemble of generated experiments in a computational exploration and discovery process. The results of analysis are subsequently used
in trade-off analysis, adaptation and deliberation to address the goal of the modelling, such as a trade-off between candidate policies and
the development of an adaptive plan. See Walker et al., [61] for the alternatives to this process in other decision-making frameworks.
This subsection develops a framework for monitoring the output space and controlling the design of experiments in interaction with
this typical exploratory modelling process for decision making. We remain at high level of description of the framework in this
subsection to keep this idea applicable to designing different aspects of experiments. The next subsection, however, explains the
implementation of the framework for the delineation of the uncertainty space in detail.
We conceptualise this agent as a simulation coordinator module overseeing the modelling process (see Fig. 1). This concept of
agent is not a simulation entity as it is in agent-based modelling; instead the agent represents knowledge perception and deliberation
resulting from human abilities (i.e. stakeholder or modeller opinion) and computer capabilities (i.e. statistical and machine learning
methods) to interact with the exploratory modelling process for decision making. Through these interactions, the agent monitors the
model behaviour (i.e. in computational exploration and discovery and trade-off analysis, adaptation and deliberation) over time and
receives feedback from the output space. The agent then controls the input space (i.e. in problem formulation and experiment
generation) to modify the design of experiments accordingly. Monitoring interactions facilitate the active learning from experiments

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Table 1
Examples of previous exploratory modelling studies in the context of decision making where feedback from the output space informs the way
experiments are designed.
Example Aspect(s) of experiments to be designed Way of designing experiments Feedback from the output space to the
design of experiments

Lempert et al. Exogenous uncertainties (X), near-term The design of experiments is discussed in The initial design of experiments, in terms of
[43] policy levers (L), performance measures initial steps of the analysis based on the policy levers, can be enhanced in an iterative
(M), and relationship(s) (R) which link XLRM framework [44]. Aspects are specified manner based on the feedback from the
uncertainties to measures mainly through engagement with analysis of vulnerabilities and trade-off
stakeholders. among initial policies.
Kwakkel et al. Model, list of uncertainties, policy actions, The design is discussed in the initial step of The results of optimisation search and the
[36] outcomes of interest, sampling method and the modelling and for the formulation of an promising sequences of actions inform the
sample size. optimisation problem. Methods used are not initial choice of policy actions in the design
explicitly discussed. However, the of experiments.
involvement of decision makers in defining
uncertainties, policies, and outcomes are
mentioned.
Eker and van Value systems (objectives and preferences) Aspects of the design of experiments are The analysis of the output space in terms of
Daalen [13] of stakeholders (W), outcome indicators to discussed in the problem formulation step of the identified failure scenarios (obtained
represent performance (O), policy variables modelling and using a model-based policy from scenario discovery) and robustly
(P), external factors/uncertainties (X), and analysis framework [62] which supports optimal values of policy variables (obtained
system model (R) interaction with stakeholders and from a multi-objective robust optimisation)
policymakers in defining each aspect. can enable decision makers to look at a
narrower decision space in the initial design
of experiments.
Haasnoot et al. The study focuses on developing a fast and The study explains steps for the development Incorporating the purpose of exploratory
[21] integrated model for simulation (among of a fit for purpose model, known as an analysis in terms of scenarios, policy actions,
other aspects of experiments). Integrated Assessment Metamodel (IAMM), outcome indicators into the model
which can describe the complete cause-effect development process results in a model fit to
chain using theory-motivated meta-models. the purpose of analysis in strategic decision
making.
Halim et al. [22] Uncertainty factors and their ranges, The study uses brainstorming, discussion The study performs worst-case scenario
simulation model, outcomes, sampling among experts, and making assumptions to discovery using optimisation to search over
method, and sample size identify key uncertainties and their ranges. the uncertainty space. This can inform the
The study does not explicitly discuss methods delineation of the uncertainty space in the
for the initial selection of model, outcomes, initial design.
sampling method and sample size.
Islam and Pruyt The study focuses on how to select an An adaptive output-oriented sampling The initial design of experiments is adapted
[26] appropriate sampling method for selecting approach is introduced. This approach through the identification of regions of the
from the input uncertainty space. iteratively samples from the uncertainty input space that can generate particular/
space to cover the gaps the spectrum of interesting behaviours in a wide spectrum of
model behaviour in the output space. model behaviour revealed by the adaptive
output-oriented sampling approach.
Watson and Model and decision levers, performance The initial design of experiments is specified The identification of failure scenarios with
Kasprzyk measures, and uncertainty factors using the XLRM framework [44] which scenario discovery informs the initial
[64] supports interactions with stakeholder. selection of scenarios and running multiple
multi-objective search within the modified
future scenarios enhances the robustness of
resulting candidate solutions.

and inform the initial design. Controlling interactions give the exploratory modelling process an adaptation capability to modify the
design of experiments according to the output space. We structure the way that the agent-monitored framework interacts with this
exploratory modelling process to inform the design of experiments in a hypothesis-experiment-learning iteration as follows:

1 Hypothesis: The agent of the framework interacts with problem formulation in the exploratory modelling process and analyses
initial assumptions regarding existing conditions and the goal of modelling. The agent generates hypotheses for different aspects
of experiments to be designed in interactions with stakeholders as initial settings of the model. For example, in the context of
decision making, the exploratory modelling goal can be to develop adaptive robust solutions for a multi-objective decision
problem. The agent then develops initial hypotheses regarding critical uncertainty factors and outcomes of interest by, respec-
tively, identifying those significant uncertainties affecting decision objectives and by selecting those indicators reflecting the
fulfilment of decision objectives.
2 Experiment: The framework interacts with experiment generation in the exploratory modelling process. The agent tests the
implications of hypotheses by performing a limited (test-only) number of computational experiments using the simulation model
and by generating a temporary output space. The generated output space is used to evaluate the relevance and significance of the
assumed design of experiments (hypothesis) for the exploratory modelling process. For example, five hundred simulation runs are
executed to produce the model behaviour and to test how significant the impact of initial uncertainty space is on the output space.
If it is significant, the modification of the uncertainty space in the initial design becomes worthy of further investigation.

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Fig. 1. An overview of the agent-monitored framework and its interactions with a typical modelling process in robust decision making.

3 Learning: The agent of the framework interacts with computational exploration and discovery and trade-off analysis, adaptation
and deliberation in the exploratory modelling process. The agent screens the generated output space and performs goal-directed
deliberative knowledge processing to modify the design of experiments according to observed areas of interest in the output space
and. For example, the output space is analysed to identify which areas of the uncertainty space lead to possible model behaviour
in the output space which cannot be a feasible behaviour in a real-world condition, and therefore can be removed from or replaced
by other areas of uncertainty in the modified design of experiments.

These generic steps are implemented in detail in the next subsection.

3.2. The application of the agent-monitored framework to the delineation of the uncertainty space

The agent-monitored framework can interact with the exploratory modelling process using the hypothesis-experiment-learning
iteration to specify the appropriate delineation of the uncertainty in the design of experiments. The feedback interactions are based
on narrowing down the uncertainty space to only those areas which can create an interesting (in that it relates to the objective(s) of
the analysis) model behaviour in the output space. In the following two subsections, we show one type of the implementation of the
framework for delineation of the uncertainty space. Fig. 2 shows a summary of steps, functions, and ways to perform steps in a
workflow to guide this type of the implementation of the framework. We also acknowledge that there are other possible im-
plementations of the framework for delineation of uncertainty space, for example by factor prioritisation which can be used to reduce
the dimensionality of uncertainty space.

3.2.1. Steps
In accordance with the generic structure in Section 3.1, the following steps are taken:

• Hypothesis: The function of this step is to make an initial hypothesis regarding the delineation of the uncertainty space.
○ The agent initially sets up the experiments by identifying outcomes of interest, policy levers, simulation model, critical un-
certainty factors, sampling method and sample size.
○ The agent then specifies the (feasibly) widest range of variation for each critical uncertainty factor considering the physical
limitations of the case and modeller's understanding of the model sensitivity to input parameters. The selection of a wide range
is to make sure no interesting model behaviour (for the aim of the analysis) is missed from experiments through the selection of
an unnecessarily narrow uncertainty space. This initial hypothesis can be enhanced by interactions with stakeholders in real

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Fig. 2. The workflow for the implementation of the agent-monitored framework for the delineation of the uncertainty space.

case studies.
• Experiment: The function of this step is to generate experiments based on the initial hypothesis about the uncertainty space.
○ The agent chooses different areas (i.e. different ranges of variation) of the delineated uncertainty space (in Hypothesis) in order
to test if changes in the uncertainty space create statistically significant different experiments in the Learning step.
○ The agent generates an ensemble of experiments by sampling from each area. It uses the selected simulation model (in
Hypothesis) for generating experiments. The agent samples from each area of the uncertainty space using the selected sampling
method and based on the chosen sample size (in Hypothesis). The agent then sets up the model parameters based on chosen
samples from the uncertainty space and executes a model simulation to generate one experiment per each sample. Each
experiment contains information regarding the initial values of parameters (chosen sample from the uncertainty space) and the
model behaviour in terms of selected outcomes of interest (in Hypothesis).
• Learning: The function of this step is to modify the initial delineation of the initial uncertainty space to suit the goal of modelling
(e.g. to include an interesting model behaviour) based on learning/feedback from the output space.
○ The agent tests if changes in the uncertainty space (based on the samples from different areas in Experiments) can create
statistically different experiments by comparing the spectrum of model behaviour in terms of the selected outcomes of interest
(in Hypothesis) for each ensemble of experiments. If the test shows a statistically significant difference, then the agent needs to
modify the initial delineation of the initial uncertainty space based on the feedback from the output space.
○ To modify the uncertainty space, the agent initially chooses the ensemble of experiments generated from the initial (wide)

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uncertainty space (chosen in Hypothesis) for observing the spectrum of model behaviour in the output space. The agent then
clusters similar model behaviours to show what classes of model behaviour can be expected.
○ The stakeholder opinion is used as a heuristic to identify which generated cluster represents the relevant model behaviour in
the output space in the light of the aim of research.
○ The area of the uncertainty space, responsible for the generation of experiments in Cluster 1, is identified. Sampling from this
specific area of the uncertainty space (instead of the one in Hypothesis) will more likely lead to experiments within the relevant
range of the model behaviour in the output space.

3.2.2. Ways to perform steps


We choose a mix of ways for implementing the agent-monitored framework for the delineation of the uncertainty space and for
serving each step's function. We also use modeller and stakeholder knowledge to fulfil the functions of some steps—which we do not
explain separately below.

• The XLMR framework: It is a generic framework from Robust Decision Making [44] for formulating a decision problem through
specifying four aspects: Exogenous factors (X) which represent the uncertainty space, policy levers (L) which are decision al-
ternatives to be tested, measures (M) which are model outcomes of interest, and relationships (R) which represent the mapping
process from external factors and policy levers to measures. The XLMR framework is used to fulfil the function of Hypothesis.
• The Exploratory Modelling (EM) workbench: The EM workbench is an open-source Python library for exploring the implications for
various decision assumptions from an input space to an output space though performing series of computational experiments [33].
The EM workbench is used for supporting the generation and execution of experiments to fulfil the function of Experiments. It is
also used for supporting the visualization and analysis of the experiments to fulfil the function of Learning.
• ANOVA: ANalysis Of VAriance (ANOVA) is a statistical method to test the statistical significance of difference between means of
multiple groups [55]. It is assumed that a null hypothesis of no significant difference among means is true. The null hypothesis is
rejected if ANOVA concludes that an observed difference among group means did not happen by chance. To make this conclusion,
ANOVA generates the F-statistic (i.e. a ratio of two variances) and compared its associated probability of occurrence (p-value)
with a threshold (significance) level. The null hypothesis is rejected when the p-value is below the threshold. See [27] for further
explanation of ANOVA. ANOVA is used for testing the statistical significance of model behaviour under various areas of the
uncertainty space to fulfil the function of Learning.
• Multi-dimensional clustering: Multi-dimensional clustering is a method used to cluster generated model results based on the si-
milarity of their behaviour [17]. The method creates a mixture of Gaussian distributions to estimate the distribution of model
results for a selected number of clusters. The appropriate number of clusters is selected based on two metrics: Bayesian In-
formation Criterion (BIC) and Aikake's Information Criterion (AIC). See [47] for the explanation of each metric. Multi-dimensional
clustering is used for identifying clusters of similar model behaviours based on samples from the uncertainty space to fulfil the
function of Learning.
• Scenario discovery: Scenario discovery is a method in Robust Decision Making [44] for identifying the areas of the uncertainty
space which generate similar classes of model behaviour based on using machine learning methods [10,19]. Scenario discovery
uses an ensemble of computational experiments as input and distinguishes similar classes of behaviour among experiments. It then
chooses among alternative subsets from the uncertainty space which can explain the classes of behaviour based on two measures
of quality—coverage and density—and a p-value. Coverage and density vary between zero and one and measure how universal
(i.e. covering all experiments from a same class of behaviour) and pure (i.e. excluding experiments resulting in other classes of
behaviour) a selected subset is. The p-value measures the statistical significance of the identified relationship between the subset
and the class of behaviour. Scenario discovery has been implemented [33] using a number of algorithms [41] such as Classifi-
cation and Regression Tree (CART) [9] and Patient Rule Induction Method (PRIM) [16] in different case studies (see e.g.
[42,43,51]). Scenario discovery is used for identifying the area of the uncertainty space related to a selected cluster of experiments
with a behaviour of interest to fulfil the function of Learning.

4. Illustration: Delineating uncertainty space using the agent-monitored framework

To illustrate how the proposed framework works, we implement it to the delineation of the uncertainty space in the following
subsections. We use the capability acquisition and maintenance management of aircraft fleets. This is a relevant case to use as the life
cycle of aircraft fleets is usually greater than 30 years, which necessitates the use of robust planning—which can consider different
future strategic and operational uncertainties—to achieve competitive advantages. We use our agent-monitored framework to assist
the robust planning of this case by delineating the uncertainty space.

4.1. Context

The capability acquisition and maintenance management supports decision making in choosing the appropriate trade-off among
the number of new aircraft acquisitions and the capacity size of deep and operational maintenance services. We use a model to
simulate the performance of the fleet (e.g. availability, waiting time, and cost) under different acquisition and maintenance strategies
[14]. The decision objectives are to maximise average flying hours of aircraft and to minimise total acquisition and maintenance costs

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Table 2
Critical uncertainty factors and their range of variation.
Critical uncertainty factor Range of variation

The risk that an aircraft is lost during operation 0.00026 – 0.00234


Lifetime of aircraft 37,440 – 336,690 (hour)
Total required flying hours 12 – 200 (hour/week)
Expected time spent by an aircraft in Capability Assurance Program (CAP) 8 – 45 (week)
Time between CAP events 16 – 40 (week)
Expected time spent by an aircraft in DM (Time in DM) 5 – 25 (week)
Time (flying hours) between DM events 200 – 1800 (hour)
Expected time spent by an aircraft in OM (Time in OM) 3 – 15 (week)
Time between OM events 50 – 450 (hour)
CAP available capacity 1 – 7 (aircraft)
Number of purchased aircraft 1 – 7 (aircraft)
OM available capacity 1 – 7 (aircraft)
DM available capacity 1 – 7 (aircraft)

over one hundred weeks. The case study is used for illustrative purpose and the input data is hypothetical. The model simulates the
performance of a fleet (e.g. availability, waiting time, and cost) under different acquisition and maintenance strategies.

4.2. Implementation

The agent-monitored framework is implemented in accordance with the hypothesis-experiment-learning iteration suggested in
Section 3.

4.2.1. Hypothesis
We focus on the delineation of the uncertainty space as a hypothesis to be experimented. However, we still need to specify
different aspects of experiments (mentioned in Section 2) to set up the exploratory modelling process in our illustrative case. The
initial design of experiment, in accordance with the XLMR framework, is specified as follows:

• Outcomes of interest: the average number of available aircraft for service (in-service aircraft) and the total acquisition and
maintenance costs of aircraft (total costs) are outcomes to be used as two decision objectives to maximise and to minimise,
respectively.
• Policy levers: the variation of the number of purchased aircraft, available capacity for Operational Maintenance (OM) and
available capacity for Deep Maintenance (DM) creates policy levers which can influence the fulfilment of decision objectives.
• Simulation model: the model is an object-oriented model developed based on a hybrid (system dynamics - discrete event)
modelling approach in AnyLogic 8.0. It is capable of simulating the performance of the aircraft fleet [14].
• Critical uncertainty factors: we include 13 uncertainties (see Table 2) with influence on the performance of aircraft operations.
• Sampling method and sample size: we use Monte Carlo sampling in AnyLogic with an initial sample of size of 500 experiments.

For the identified critical uncertainty factors, we choose fixed continuous range of variation (see Table 2) to represent the initial
uncertainty space (hypothesis). As explained in Section 3.2, ranges are chosen based on our general perception of the case and
modeller's understanding of the model sensitivity to input parameters.

4.2.2. Experiment
We ran experiments based on the initial design, set in Section 4.2.1. We generated an ensemble of 500 experiments by sampling
from the full uncertainty space (Table 2) using the EM workbench. We also generated two other ensembles of 500 experiments by
sampling from the first and fourth quartile of the full ranges of uncertainty specified in Table 2 as two alternative areas from which to
sample. The output space in each ensemble is represented by the state of two outcomes of interest: in-service aircraft and total costs.

4.2.3. Learning
To test the significance of the way we delineated the uncertainty space (hypothesis) on outcomes of interest, we compare the
resulted output space of each ensemble visually with Kernel Density Estimate (KDE) diagram and statistically using ANOVA. Fig. 3
shows the distribution of this output space in each ensemble. It is visually evident that the delineation of the uncertainty space in each
ensemble leads to different distributions for the output space. This observation endorses the sensitivity of final results to sampling
from different areas of the uncertainty space. We also performed ANOVA to verify statistically the visual observation. The results of
ANOVA in Table 3 reject the similarity of the means of distributions (null hypothesis) and verify that the output space is statistically
sensitive to the way the uncertainty space was delineated.
We further investigated the effect of sampling from different areas of the uncertainty space by comparing the spectrum of model
behaviour revealed in the output space for each ensemble of experiments using a scatterplot. According to Fig. 4, the full uncertainty
space results in a wide spectrum of model behaviour in the output space. For example, the red dots (full range) show a wide spectrum

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Fig. 3. KDEs for (a) total costs and (b) in-service aircraft for the full uncertainty space, first quartile and fourth quartile of the hypothesised
uncertainty space.

Table 3
ANOVA (5% significance level) in (a) total costs and (b) in-service aircraft for the three ensembles of experiments.
ANOVA SUMMARY
Ensemble Average Variance F P-value F critical

Full range 264.484 12,688.114 50.297 < 0.001 3.002


First quartile 308.946 13,644.183
Fourth quartile 238.402 11,610.105
(a)

ANOVA SUMMARY
Groups Average Variance F P-value F critical

Full range 1.379 1.102 426.463 < 0.001 3.002


First quartile 2.363 1.015
Fourth quartile 0.792 0.099
(b)

Fig. 4. Clusters of experiments with similar behaviour regarding in-service aircraft and total costs based on the full uncertainty space (red), first
quartile (blue), and fourth quartile (green) of uncertain parameters. (For interpretation of the references to color in this figure legend, the reader is
referred to the web version of this article.)

of model behaviour with respect to in-service aircraft (0 to 8) by considering the full uncertainty space compared to blue dots (first
quartile) and green dots (fourth quartile) where the results are associated to truncated uncertainty spaces. However, a full uncertainty
space (red dots) only show a low-resolution of a particular behaviour of interest, as opposed to a truncated uncertainty space which
can result in a high-resolution picture of the output space in one particular area (in terms of density of experiments in one area). For

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E.A. Moallemi et al. Simulation Modelling Practice and Theory 89 (2018) 48–63

Fig. 5. Discovering the area of the uncertainty space related to a specific cluster of the model behaviour in the output space using scenario
discovery.

example, blue dots and green dots show a narrower but high-resolution area of the output space associated to the model behaviour
with medium-to-high (1 to 7) and low (0 to 2) in-service aircraft respectively. A wide spectrum of model behaviour with high-
resolution can be captured in the output space at the same time by considering the full uncertainty space and increasing the sample
size together. However, this also leads to increasing the computation burden of the exploratory modelling process.
Since sampling from different areas of the uncertainty space is statistically significant for the selected outcomes of interest, the
framework needs to modify the initial delineation of the initial uncertainty space based on the feedback from the output space. We
use the initially-set uncertainty space for the purpose of observing the spectrum of model behaviour in the output space. The model
behaviour in the output space (in terms of in-service aircraft and total costs), which was generated in Section 4.2.2, is projected in a
scatterplot (see Fig. 5), and similar model behaviours are clustered using multi-dimensional clustering (see Section 3.2.2). The
stakeholder knowledge is used as a heuristic to identify a relevant model behaviour in the output space. We assumed that stake-
holders choose Cluster 1 as a relevant area to the aim of research since they prefer at least medium in-service aircraft and at most
medium total costs. The next task is to identify the areas of the uncertainty space responsible for this relevant model behaviour. The
area of the uncertainty space, responsible for the generation of experiments in Cluster 1, is identified using scenario discovery (see
Section 3.2.2). It is observed that experiments in Cluster 1 are more likely to be generated under a truncated range of uncertainty for
required flying hours (13 – 61 (hour/week)) and DM capacity (13 – 61 (aircraft)) while the rest of the uncertainty space can remain
unchanged (see the table in Fig. 5). Sampling from this modified uncertainty space (instead of the initial hypothesis in Section 4.2.1)
would result in experiments closer to the relevant model behaviour in Cluster 1. The results of this test run subsequently modifies the
delineation of the uncertainty space. The modified uncertainty space can be then used for the purpose of the exploratory modelling
process and with a larger sample size to better represent the diversity of model behaviours.

4.3. Discussion

We suggested a modified uncertainty space based on the cluster of experiments with the relevant model behaviour of at least
medium in-service aircraft and at most medium total costs. But how can this informed delineation of uncertainty space be useful and
enhance the confidence of exploratory modelling results as claimed earlier in Section 1? We investigate the confidence of the results
of sampling from this modified uncertainty space in terms of their robustness in a multi-objective decision-making problem. We show
how the informed delineation of the uncertainty space obtained in Section 4.2.3 can enhance the robustness of the results in terms of
generating outcomes closer the desired decision objectives.
The decision problem is to find Pareto optimal solutions—each solution specifying the number of purchased aircraft, OM capacity
and DM capacity—to maximise in-service aircraft and to minimise total costs. We ran new experiments under the area of the
uncertainty space associated with the relevant model behaviour in Cluster 1. We searched for Pareto solutions using an epsilon non-
dominated sort algorithm in Python [65] and plotted the results in Fig. 6(a). We also identified and plotted Pareto solutions in the
previous generated experiments under the First quartile and the Full range of the uncertainty space for comparison (see Fig. 6(b) and
(c)). The Pareto solutions in each ensemble of experiments are contrasted from all feasible solutions with bright and shaded colours.

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E.A. Moallemi et al. Simulation Modelling Practice and Theory 89 (2018) 48–63

Fig. 6. Pareto optimal solutions based on sampling from (a) Cluster 1, (b) first quartile, and (c) and full uncertainty space.

Solutions are also represented based on the state of their decision levers (number of purchased aircraft, OM capacity, DM capacity)
and the associated fulfilment of their decision objectives (in-service aircraft and total costs) in parallel coordinate plots.
We compare generated Pareto solutions in each plot based on a robustness measure from Kwakkel et al. [35]. The robustness
measure is to assess the mean and the undesirable deviation from a threshold in decision objectives as Eq. (1):

k
⎧ Min (−μi , ∑k = 1 (xk − threshold )2 [xk > threshold])
fi (x ) =
⎨ Max (μ , − ∑k (xk − threshold)2 [xk < threshold])
⎩ i k=1 (1)

Where k is each individual solution in a set of pareto solutions and xk is the state of the decision objective in kth solution. The
minus mean and the sum of squared differences from a threshold should be minimised in case of total costs objective when deviation
above a threshold is undesirable. The mean and the minus sum of squared differences from a threshold should be maximised in case of
the number of in-service aircraft objective when deviation below a threshold is undesirable. In our example, based on the earlier
assumption that stakeholders prefer at least medium in-service aircraft and at most medium total costs, we choose 3 in-service aircraft
and 300 total costs as thresholds. The comparison of Pareto solutions based on this robustness measure in Table 4 shows that
although the means of in-service aircraft and total cost in Cluster 1 are not maximum and minimum (respectively), both decision
objectives in Cluster 1 are fulfilled with less undesirable deviations from the specified thresholds, compared the deviations in the
other two areas of the uncertainty space.

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Table 4
The components of the robustness measure.
Cluster 1 First quartile Full range

Mean (in-service aircraft) 3.619 3.853 3.864


Undesirable deviation from the threshold (in-service aircraft) 16.320 17.430 49.479
Mean (total costs) 183.375 179.444 152.778
Undesirable deviation from the threshold (total costs) 141,903 194,765 293,827

5. Other aspects of experiments to be designed using the output-oriented approach

This section briefly discusses how the output-oriented approach that we adopted in the agent-monitored framework can be
applied to the other aspects of experiments based on previous experiences. We did not cover how to choose outcomes of interest in
this section as they are often chosen based on robustness measures which have been discussed extensively in other works (see e.g.
Giuliani & Castelletti [18] and McPhail et al. [48]).

5.1. Specifying policy levers

Revising the initial list of policy levers based on feedback from the output space can enhance the robustness of final decision
insights. This feedback interaction has been implemented in some studies (see e.g. [28]) using optimisation methods to search
through the space of possible policy levers, to analyse the impact of various levers on the output space, and to find the most promising
policy levers which could lead to the robust desired performance in the output space. An output-oriented approach can also lead to an
understanding of the effectiveness and validity of initial policy levers, which can subsequently inform the design of long-term policy
pathways with some short-term actions and milestones for switching between them (see e.g. [36]). This can be realised through
setting a performance threshold in the output space and then monitoring when the levers fail to meet the performance threshold. This
leads to the identification of vulnerabilities of initial policy levers and informs the design of protective measures for coping with these
vulnerabilities and can update the initial policy levers for enhancing their robustness.

5.2. Developing a simulation model

Model development is an iterative process of problem articulation, conceptualisation (dynamic hypothesis), formulation, testing,
and evaluation [59]. An output-oriented approach to the design of experiments can inform the modelling process from one iteration
to another and can yield insights leading to revisions in earlier steps. First, analysing the output space can enable modeller to monitor
the fulfilment of the goal and intended use of modelling and inform the conceptualisation and formulation of a simulation model—fit
for the purpose of analysis. The fulfilment of goal and intended use of modelling influences how the problem at hand is con-
ceptualised, influences how the conceptual model is developed (e.g. the boundary of the system to model), and affects how the model
is specified (e.g. the level of abstraction and aggregation). For example, a case-specific system's model which aims to suggest policy
recommendations for a certain context (see e.g. [50] would need extensive empirical data and participation of stakeholders and
should be able to reproduce the state of different variables to draw relevant case-specific insights. However, another model, which
aims at providing explanation for a potential phenomenon or to test certain theoretical assumptions, can keep only a high-level of
abstraction and maintain a loose link to empirical data while being generic and applicable to different cases (see e.g. [12]). Second,
analysing the output space can also inform the evaluation of the model; an evaluation to test whether the model can serve the goal of
modelling rather than only quantifying the model details accurately (see [20,21,24]).

5.3. Identifying critical uncertainty factors

Monitoring the output space can reveal information about the criticality of uncertainty factors; i.e. the degree of variations that
they can create on final outcomes. This output-oriented approach can be realised through expert-informed approaches (such as a
participatory process) or computational approaches (such as sensitivity analysis). The former relies on qualitative (informal) as-
sumptions regarding the criticality of various uncertainties in model. These assumptions can be extracted in a participatory process
and in interaction with stakeholders or resulted from the modeller's understanding of the specific features of the context of the study,
the model structure, and its sensitivity to input uncertainties. The latter, however, is based on a quantitative analysis and can be
performed using, for example, sensitivity analysis [58]. As two examples from the case use of sensitivity analysis in this context, we
can identify uncertainty factors with negligible influence on outcomes using Factor Prioritisation (such as Correlation analysis [25]).
We can also rank uncertainty factors based on their impact on outcomes using Factor Fixing (e.g. variance-based [7] and density-
based [1]). A joint use of both participatory and computational approaches can be also used for the identification of critical un-
certainties [53], where first the areas of uncertainties are identified in a participatory process and then the criticality of uncertainty
factors within each area is ranked using standard sensitivity analysis.

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5.4. Choosing an efficient sampling method and sample size

An output-oriented approach to sampling method and the size of sample can inform the design of experiments. For sampling,
some previous studies have used adaptive sampling to sample from the areas of the uncertainty space responsible for undiscovered
model behaviours or the areas responsible for high variation of the model behaviour (e.g. [26]). Adaptive sampling is for an efficient
search of the uncertainty space based on their likelihood of uncertainty estimation [6,29]. Adaptive sampling particularly considers
the complexity of the likelihood surface of the uncertainty space [4]; the complexity resulted from the interaction of multiple
dimensions in the uncertainty space or from the model structure [5]. Adaptive sampling partitions the uncertainty space and takes
samples from the area of higher likelihood. Regarding an output-oriented selection of sample size, convergence analysis [63] and
robustness analysis [57] are among methods which verify a posteriori the appropriateness of the sample size considering the state of
the output space. In convergence analysis, the degree of independence between the model behaviour in the output space and the
sample size is assessed by analysing whether the same model behaviour would be achieved under smaller sub-samples or not. In
robustness analysis, the degree of independence between the output space and samples is assessed by taking new samples from the
uncertainty space with the same size and by analysing the similarity of the output space.

6. Future research directions

• The current framework monitors and controls the design of experiments offline, in the sense that a set of experiments is run, the
results are analysed, and the design is modified. An extension of this framework could work in real time, in the sense that the
framework monitors and analyses the output space and modifies the design of experiments accordingly as the model is running. At
the same time, it monitors the impact of this modified design in the output space again to adjust further the design of experiments.
• The current framework also uses the original simulation model to create the output space for controlling the design of experi-
ments. An alternative approach would be to develop a simple form of the original simulation model to work as a control model
relating the output space to the input space for the purpose of modifying the design of experiments. The benefit of this control
model is in its simple structure which can be run faster, and therefore can better suit the real-time monitoring and controlling of
the exploratory modelling process. A future research effort can develop this control model in the exploratory modelling process
and compare its performance with the agent-monitored framework suggested in the current work.
• The work implemented the suggested agent-monitored framework in one aspect of experiments. However, ways for designing
other aspects of experiments were introduced in Section 5. Future research can incorporate the suggested ways into the agent-
monitored framework and investigate their implementation in other aspects, such as specifying policy levers, in practice. The
current work used robustness measures in a multi-objective optimisation problem to show the higher confidence of the results
based on an informed uncertainty space—obtained by the implementation of the suggested framework—compared to an initial
space of uncertainty. Future research can take another approach and show the superiority of the suggested framework by com-
paring its results with those from an alternative approach—for example a conventional input-oriented approach to the design
experiments. The current work also used a mixed use of ANOVA and KDE for testing the proposed hypothesis regarding the
delineation of the uncertainty space. An alternative testing approach for future can be to use Kolmogorov-Smirnov test to compare
the distribution of outcomes as a whole.

Acknowledgements

We are thankful to the anonymous reviewers for their constructive comments on the earlier version of this article.

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