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Track: Simulation

Fueling Our Models: Generation of Probabilistic Scenarios

Wednesday, April 14, 10-10:40am EDT

OR models supporting business decisions often require as inputs massive numbers of probabilistic scenarios depicting future operating conditions. For example, with business operating at ever-lower levels of aggregation and ever-higher frequencies, demand planning and inventory optimization now use models fueled by scenarios representing the randomness of product demand at a daily scale. Even non-decision tasks such as operator training benefit from large numbers of realistic training scenarios. We will review how such scenarios are used, evaluated, and automatically generated using time-series bootstrapping. These results derive from three sources: a framework for evaluating scenario generators (quantity, cost, fidelity and variety), a novel quantitative metric of the quality of bootstrap-based scenarios, and on empirical studies of the ability of trained observers to distinguish between real time series and bootstrap replicates.

Thomas Willemain image

Thomas Willemain

Thomas Willemain

Co-Founder and Senior Vice President/Research at Smart Software, Inc.


  • BSE (summa cum laude, Phi Beta Kappa) Electrical Engineering, Princeton University
  • SM and PhD Electrical Engineering, Massachusetts Institute of Technology

Professional Experience

  • Co-Founder and Senior Vice President/Research, Smart Software, Inc., Belmont, MA
  • Professor Emeritus, Industrial and Systems Engineering, Rensselaer Polytechnic Institute
  • Former faculty member, MIT 
  • Former faculty member, Harvard Kennedy School
  • Member of Institute for Operations Research and the Management Sciences, Military Operations Research Society, International Institute of Forecasters, American Statistical Association, Association of Former Intelligence Officers

Public Service

  • Distinguished Visiting Professor, Federal Aviation Administration
  • Expert Statistical Consultant (GS15/10), National Security Agency
  • Research Staff, Institute for Defense Analyses Center for Computing Sciences

Teaching Awards

  • Mu Sigma Rho National Statistics Honorary Society W.D. Warde Statistical Education Award, 2012. Awarded for “excellence in classroom teaching in the statistics discipline and ⋯ lifetime devotion to statistics education.”
  •  Rensselaer Alumni Association Teaching Award, 2011
  • Rensselaer School of Engineering Excellence in Engineering Education Award, 2005
  • Rensselaer Distinguished Teaching Fellowship, 1991-92
  • Rensselaer Executive MBA Program Golden Apple award, 1989