Breaking New Ground: FQUEST’s Fully Automated Fixed-Sample-Size Approach to Quantile Estimation

Dr. Athanasios Lolos is a Senior Data Scientist at Navy Federal Credit Union (NFCU), the world’s largest credit union, serving over 14 million members and employing more than 30,000 people. With a PhD in Operations Research and an MBA from the Georgia Institute of Technology, Dr. Lolos combines academic expertise with practical industry experience. He is an active researcher in Operations Research, focusing on quantile estimation, and contributes to the field by reviewing papers for top journals, including ACM Transactions on Modeling and Computer Simulation (TOMACS).
In November 2023, Dr. Lolos co-authored (first author) the paper “A Fixed-Sample-Size Method for Estimating Steady-State Quantiles” published at the Proceedings of the 2023 Winter Simulation Conference, one of the most prestigious conferences in the field of simulation and modeling.
This paper introduces FQUEST, the first fully automated fixed-sample-size procedure for computing confidence intervals (CIs) for steady-state quantiles. FQUEST is a significant advancement, as no commercial simulation package currently offers a similar procedure for estimating CIs for steady-state quantiles. The paper demonstrated that FQUEST performs well even with small sample sizes, a typically challenging situation in quantile estimation.
FQUEST’s automated approach allows researchers and professionals to estimate CIs for quantiles of complex systems without needing advanced statistical or simulation knowledge. FQUEST will be implemented in an online software by the second quarter of 2025. This automation and accessibility make it an invaluable tool for decision-making and system analysis. Its versatility spans many fields, including financial portfolio analysis, manufacturing systems, communication networks, and call center operations. The paper evaluates FQUEST using the waiting times in an M/M/1 queueing system, common for modeling real-world systems in the fields of queueing theory and telecommunications.
FQUEST stands out for its innovative design, pushing the boundaries of academic research while seamlessly bridging the gap between theory and practice. By providing accessible, reliable solutions, it empowers industries to make data-driven decisions and foster innovation across diverse sectors.