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IEEE TRANSACTIONS ON SEMICONDUCTOR MANUFACTURING, VOL. 29, NO.

4, NOVEMBER 2016

411

Risk-Controlled Product Mix Planning in


Semiconductor Manufacturing Using
Simulation Optimization
Kuo-Hao Chang, Member, IEEE

AbstractProduction ramp-up refers to the period between


the completion of product development and full capacity utilization. In semiconductor industry, engineering lots are given
higher priority in the manufacturing process in order to improve
the manufacturing process and/or to facilitate the new product
development. However, the implementation of engineering lots
can disrupt the smoothness of the manufacturing process and
thus increase the cycle time of normal lots. Because semiconductor manufacturing is a very complicated manufacturing process,
the determination of the appropriate product mix is a difficult
task for many semiconductor companies, especially when risks
are taken into consideration. We propose a model to characterize
this hard tradeoff and apply an efficient simulation optimization
method to obtain the optimal product mix where risks are taken
into consideration. An extensive numerical study shows that the
proposed method has satisfactory performance and is capable of
identifying the nearly optimal product mix in reasonable computing time. An empirical study conducted in collaboration with
a semiconductor company further validates the viability of this
research in practical settings.
Index TermsProduct mix planning, semiconductor manufacturing, risk control, simulation optimization.

I. I NTRODUCTION
OWADAYS, in order to maintain the competitive
advantage, many companies strive to meet customers
demands in terms of quantity, quality, and delivery accuracy.
To achieve this, low cycle time and high throughput are both
necessary. Unfortunately, these performance goals are known
as conflicting to each other and tradeoffs have to be made
in reality. Product mix, technically defined as the fraction of
each product in a manufacturing process, has large impacts
on both cycle time and throughput due to blockages and idleness of equipments or resources in the production or assembly
lines. When the manufacturing process is complex, it is a difficult task to estimate the cycle time and throughput under
different scenarios of product mix. The determination of the

Manuscript received May 1, 2016; accepted July 9, 2016. Date of publication August 24, 2016; date of current version October 27, 2016. This work was
supported in part by the Advanced Manufacturing and Service Management
Center, National Tsing Hua University and in part by the Ministry of Science
and Technology of Taiwan under Grant MOST101-2628-E-007-010-MY3.
The author is with the Industrial Engineering and Engineering
Manufacturing, National Tsing Hua University, Hsinchu 30013, Taiwan
(e-mail: chang@mx.nthu.edu.tw).
Color versions of one or more of the figures in this paper are available
online at http://ieeexplore.ieee.org.
Digital Object Identifier 10.1109/TSM.2016.2602388

optimal product mix are even greater challenges in practice due


to the complex manufacturing process, especially when risks
are taken into consideration. As a result, production managers
often make decisions based on their own intuitions or personal
experiences, which are prone to mistakes and usually result in
unsatisfactory results.
Semiconductor manufacturing is one of the most complicated manufacturing process in real world due to several
hundreds of processing steps with re-entrance. Often times,
when a new technology is implemented and/or the recipe of
one existing technology is changed, wafer fabrication facilities (fabs) would practice engineering lots, which refer to
the lots that have higher priority than normal lots (NLs) in
the manufacturing process, as a means to enable quick detection of the root causes of low yield and in turn to shorten
the production ramp-up. Engineering lots can be further categorized into rocket lots (RLs) and hot lots (HLs) according
to the reservation policy implemented in the equipments they
are processed [1]. Specifically, a load port of the equipment
is reserved for HLs and a whole set of equipment is reserved
for RLs. Conceivably, RLs would have a larger impact on the
cycle time than HLs.
RLs and HLs, while are created due to the need to enable
a quick diagnosis of the manufacturing process, can disrupt
the manufacturing flow and result in a significant increase of
cycle time of NLs. The product mix planning, which corresponds to the determination of the fraction of RLs, HLs and
NLs, respectively, in the work in process (WIP), aims to collect
sufficient information about the manufacturing process, while
ensuring that the cycle time of NLs is not seriously affected.
This has been an important, yet challenging, task in semiconductor industry. Currently, the problem is solved through
a series of negotiations and arguments between the marketing and production departmentsan excruciating and lengthy
process. We are therefore motivated to study the problem and
propose a decision model to enable the generation of product
mix with limited risks in a timely manner.
As will be reviewed in Section II, one powerful tool for
solving the product mix planning problem is simulation. While
simulation has the advantage that all details that are important
to the performance measure can be taken into account, its goal
is to answer what-if questions, e.g., how much the cycle time
of NLs would increase when the fraction of HLs is increased,
rather than to determine the optimal product mix in the WIP.
Moreover, the performance measure concerned in the existing

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simulation studies is mostly expectation. For example, in [2],


a simulation optimization model is used for generating the
optimal product mix that can achieve the maximized expected
throughput subject to some constraints on the expected cycle
times.
In this paper, we follow and extend this thread by proposing a quantile-based simulation optimization model that further
allows risks to be taken into consideration. The th quantile
of a continuous random variable Y, denoted by , is defined
by P[Y ] = for prespecified (0 < < 1) [3]. For
example, if Y is the cycle time of a wafer lot, then only 5% of
the wafer lots have cycle time more than 0.95 . Compared to
the expectation-based models, the advantage of the proposed
model is two-fold. First, it enables semiconductor companies to control the upside risk for the selected product mix.
Specifically, the company can ensure the amount of NLs that
cannot be finished by due day is less than a tolerable value.
Second, the adjustment of allows for a larger flexibility in
the selection of product mix. One challenge, however, exists
in solving the quantile-based model. Unlike the expectation,
quantile does not have nice distributional properties, such as
the central limit theorem [4], thus it is difficult to solve the
quantile-based model.
We apply an efficient method, called Adaptive Global and
Local Search for Quantile-Constrained Problems (AGLS-QC),
to find the optimal product mix, facilitating the decision making in practice. An extensive numerical study shows that the
performance of AGLS-QC is promising and is capable of identifying the optimal solution in a reasonable computing time.
An empirical study in collaboration with a leading semiconductor company in Taiwan further verifies the viability of this
research in real settings. More details will be presented in later
sections.
The remainder of this article is organized as follows. In
Section II, we review the literature for the related research
work. In Section III, we present the quantile-based simulation optimization model to characterize the product mix
planning with controlled risks in semiconductor manufacturing. In Section IV, we apply the AGLS-QC to find the optimal
product mix. In Section V, we evaluate the performance of
AGLS-QC and compare it with three existing methods via a
numerical study. In Section VI, we present an empirical study
based on real data to validate the viability of this research in
real settings. We conclude with future research in Section VII.
II. L ITERATURE R EVIEW
In the literature, the approach for estimating cycle time and
throughput can be roughly categorized into two classes, analytical models and simulation models. The analytical models are
developed based on Littles law and queueing theory [5][10].
In particular, in [6], the purpose of implementing engineering lots and the issues caused by this implementation were
discussed. The material flow in a wafer fab was analyzed in
order to develop effective algorithms for estimating cycle time.
In [8], queueing models were developed to characterize the
semiconductor manufacturing system. A potential solution was
provided to relax the independent assumptions required in the
classical queueing theory. A nonlinear regression metamodel

approach based on queueing theory was developed for estimating the relationship between cycle time and throughput [11].
In [9], a simple queueing model was developed to gain an
insight into the relationship among cycle time, lot size, and
the fab technology level. In summary, the analytical models are
good at providing useful information about the manufacturing
system under study and are relatively easy to use.
On the other hand, simulation is a widely-used tool
for estimating cycle time due to the ability to account
for all the technical details essential to the manufacturing process. Applications of simulation for evaluating
cycle time and throughput in semiconductor manufacturing
include [1], [12][16]. In particular, in [12], simulation was
utilized to assess the impact of scheduling on the mean cycle
time of wafer lots in semiconductor manufacturing. The impact
of HLs on the cycle time of other lots via simulation was investigated in [13]. The results showed that as the fraction of HLs
in the WIP increases, both the mean cycle time and the corresponding standard deviation for all other lots increase dramatically. In [15], an aggregate simulation model representation of
workstations with integrated processing equipment was developed. In particular, a curve fitting procedure was introduced to
deal with the typically limited number of arrival and departures
encountered in semiconductor manufacturing practice. In [1], a
simulation-based methodology was proposed for quick development for the relationship between cycle time and product
mix in semiconductor manufacturing. Some empirical analysis has also been conducted for investigating the relationship
between volume and product mix flexibility [17]. Superior to
the analytical models, simulation models can accommodate
all the technical details that are important to the manufacturing process. However, its disadvantage is that it may require a
substantial amount of time to produce statistically valid results.
III. T HE P ROPOSED M ODEL
In semiconductor industry, engineering lots are implemented
not only to enable the detection of problematic equipments,
but also to provide marketing and business with extra flexibility regarding delivery lead times. To enable the control of
the risk associated with the selected product mix, we propose
a quantile-based simulation optimization model. Three types
of products in the manufacturing process are considered, i.e.,
RLs, HLs, and NLs. Let x = [x1 , x2 , x3 ] be the vector of product mix where each component corresponds to the fraction of
RLs, HLs and NLs, respectively. Further, let the response variable of interest be cycle time (CT), so GCT,1 (x, ) be CT of
RLs and GCT,3 (x, ) be CT of NLs, where denotes the randomness involved in the manufacturing system and Cnl is a
prescribed value. Mathematically, the product mix model can
be expressed as follows.
The Quantile-Based Product Mix Model:


Minx 1 GCT,1 (x, )


s.t. 2 GCT,3 (x, ) Cnl
3


xi = 1

i=1

xi 0,

for all i.

(1)

CHANG: RISK-CONTROLLED PRODUCT MIX PLANNING IN SEMICONDUCTOR MANUFACTURING

The above model aims at seeking the product mix that can
result in minimized 1 th quantile of CT of RLs subject to
that 2 th CT of NLs is not greater than a prescribed value
Cnl , where the values of 1 and 2 are determined by production managers. Due to the complexity of semiconductor
manufacturing, 2 [GCT,1 (x, )] and 2 [GCT,3 (x, )] are not
analytically available but can be estimated only by simulation, which inevitably contains noise. This in turn imposes
challenges to telling whether or not a solution is feasible and
one solution is superior to another. Seeking the optimal solution(s) of the proposed model is even more challenging. In
Section IV, we will present a solution method that possesses
an efficient search strategy to identify the optimal solution.
IV. S OLUTION M ETHOD
AGLS-QC is essentially a direct search method. The advantage of the direct search method is that it does not require
gradient estimation in the search process. Instead, it uses only
the (noisy) objective function values and determines the moving direction by comparing a set of solutions. As discussed
in [18], another advantage of the direct search method is
that it is computationally efficient when the feasible region
is not large,
 which is the case in this research due to the
constraint 3i=1 xi = 1. In [3], a direct search method, called
SNM-Q, is proposed to solve the unconstrained quantile-based
simulation optimization problems. In [19], SNM-Q is further
extended, called SNM-QC, to solve the constrained quantilebased simulation optimization problems where the constraints
are linear and analytically known. This contrasts with the
proposed model in Section III where the constraint is quantilebased, not analytically available, and has to be estimated via
simulation.
AGLS-QC incorporates the quantile estimation techniques
and the penalty function method from [19] but further employs
an efficient search strategy based on a novel neighborhood
structure to enable quick identification of the optimal solution. The idea is to sequentially divide the feasible region into
several subregions that encompass solutions that have close
objective function values, and then identify the most promising region where the truly optimal solution is likely to reside
in. Because the algorithm samples a region rather than a
solution in each iteration, the search process for the optimal solution is significantly accelerated. In what follows, we
first present the main framework of AGLS-QC, followed by
the introduction of the quantile estimation technique and the
penalty function method.
A. Main Framework
For each iteration, AGLS-QC performs both global sampling and local sampling for a new solution with a nice balance
between exploring the whole feasible region (i.e., global sampling) and exploiting the local region (i.e., local sampling).
Specifically, for any iteration k, let the whole feasible region
be X. And (x) be the quantile estimate at the solution x.
Further let Q(x) = k (x) + rk P(x), where Q(x) is the Q
value evaluated at x, P(x) is the penalty function that has
a large value when the solution is infeasible, and rk is the

Fig. 1.

413

An illustration of AGLS-QC [20].

penalty parameter at iteration k, a positive real number satisfying limk rk = . Let 0 = be an empty set and k the
sampled-solution set that collects all sampled solutions up to
iteration k. Let the most promising region be the neighborhood
of xk , which is the solution that has the minimum Q value in
k .
For any iteration k, AGLS-QC conducts the following four
steps.
Step1. Perform local sampling to select t solutions in the
most promising region and update k .
Step2. Perform global sampling to select s solutions in X
and update k .
Step3. Define/update the neighborhood of each solution
in k . Estimate and compare the Q value of all
solutions in k . Identify the the most promising
region.
Step4. If the termination criterion is satisfied, return the
solution xk . Otherwise, let k = k + 1 and return to
Step 1.
The neighborhood of each sampled solution is defined as
follows. Let Dist(u,v) be the Euclidean distance between
the two solutions u, v. The neighborhood of solution xi is
defined as





(xi ) = x : Dist(x, xi ) min Dist xi , xj , j = i ,
(2)
which represents the region defined in a way that any neighborhoods of two sampled solutions will not overlap with each
other. It is remarkable that the neighborhood of one solution,
say xi , is defined dependent on its neighboring solutions and
their relative locations; both are iteratively changed. The values of t and s are selected by users according to the problem
dimension. For example, for a problem of low dimension, the
value of t and s may not be selected large; on the other hand,
when the problem dimension is large, a large value of t and s
are suggested in order to accelerate the convergence speed of
the algorithm.
As shown in Fig. 1, suppose 10 solutions are sampled
through global and local sampling. The algorithm defines the
neighborhood of each solution and identifies the neighborhood
of the solution with minimum quantile estimate as the most
promising region, for example, the neighborhood of x3 . It can
be easily seen that as the algorithm continues to iterate, more
solutions are sampled, making the the most promising region
smaller, in turn increasing the probability that the solutions in
the most promising region being sampled. In the meantime,
due to more solutions are sampled in the feasible region, the

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behavior of the objective function are better understood and


eventually the algorithm can find the true optimal solution as
desired.
One issue worth discussing is the sample size schedule
{Nk }
k=0 , which corresponds to the sample size taken for each
solution in k at iteration k. In order to ensure that the quantile estimation is accurate, the sample size should not be too
small, otherwise it is possible to wrongly replace a good solution with a poor solution. On the other hand, the sample size
should not be too large, otherwise the computational budget
may be exhausted before the algorithm achieves convergence.
We suggest an increasing sequence that starts with a small integer in early
iterations and gets large later on. One example is
Nk =
k .
B. Global and Local Sampling
The global and local sampling focus simulation effort on
the region that is most likely to contain the optimal solution,
i.e., the most promising region while, in the mean time, ensure
that other solutions
 elsewhere are considered. However, due to
the constraint 3i=1 xi = 1, performing the global and local
sampling may not be a straightforward task. Suppose the current best solution is xk . Let d be the minimal distance between
xk and other solutions in k . The global and local sampling
are given as follows.
Global Sampling:
Step1. Uniformly take a value from [0, 1]. Call it x1 .
Step2. Uniformly take a value from [x1 , 1]. Call it x2 .
Step3. Uniformly take a value from [1 x1 x2 , 1]. Call
it x3 .
Step4. Return x = [x1 , x2 , x3 ] as the new solution.
Local Sampling:
Step1. Calculate the distance from xk to the boundary
line, x1 + x2 = 1, x1 + x3 = 1, x2 + x3 = 1,
respectively. Suppose the distance is s1 , s2 , s3 . Let
s = min{s1 , s2 , s3 }. Let r = min{d, s}
Step2. Take uniformly from [, ]. Let x1 =
r cos , x2 = r sin , x3 = 1 x1 x2 .
Step3. Return x = [x1 , x2 , x3 ] as the new solution.
C. The Penalty Function Method
We apply the penalty function method given in [19] to handle the quantile-based constraint. The goal is to distinguish
the infeasible solutions. Let h1 (x) = 2 [GCT,3 (x, )] Cnl
and Model (1) in fact requires that h1 (x) 0.
To extend the applicability, suppose there are l constraints.
Without loss of generality, suppose hi (x) 0, i = 1, . . . , l.
The selection of P(x) must satisfy that P(x) is an increasing
function of the constraint functions hi (x) for any i. Specifically,
it is desired that P(x) > 0 if and only if hi (x) > 0 for any
i; P(x) as hi (x) and P(x) b(b 0) as
hi (x) . One possible choice of the penalty function
satisfying the above conditions is given as follows:
P(x) = max {max{0, hi (x)}}.
i=1,...,l

(3)

Let X
= {x X : +
}, which denotes

neighborhood of the global optima . To prove that the

algorithm will not use the infeasible solutions to estimate the


optimal solution, we will need the following assumption.
V. N UMERICAL S TUDY
In this section, we conduct an extensive numerical
study to understand the effectiveness and efficiency of the
AGLS-QC. Three existing algorithms, including Nelder-Mead
simplex method (NM), simulated annealing (SA), and pattern
search (PS) are used to compare with AGLS-QC. However,
because their development is not intended for dealing with
constrained quantile-based simulation optimization problems,
we incorporate the single-sample-based quantile estimator 1 ,
as well as the penalty function method P(x), into their algorithmic frameworks to enable the comparison. To sum up, four
algorithms (AGLS-QC, SA, NM and PS) are compared under
12 scenarios, constituted by 3 types of test problems, 2 choices
of values and 2 types of distributions of the randomness.
The test problems are created by putting together a deterministic test function (where its optimum is known) and an
additive noise, i.e., G(x, ) = g(x) + x . All the test problems
are provided in the Appendix. This is to mimic the proposed
specific model given in Section III where both the objective
function and constraint are quantile-based. For each test problem, the additive noise x is generated from Normal(0, g(x))
and Exponential( = g(x)). Note that the subscript x in x
implies that the distribution of noise is dependent upon the
parameter x; for example, the variance of noise is increasing
with x. In fact, this setting is realistic and fits the practical
situation better. The two choices of values are 0.8 and 0.9.
The test functions are obtained from different sources with
appropriate modifications. In particular, Problems 1 and 2 are
obtained from [21] and Problem 3 is from [22]. All the problems are given in the Appendix. The sample size for the
single-sample quantile
estimate is 30; the sample size schedule

is set as Nk =
k , rk = 105 k0.1 For the four algorithms
under comparison, we do not adjust their parameter setting in
order to achieve the best performance. Instead, the parameter setting is chosen merely based on an educated guess.
As it is known that the parameter setting can significantly
affect the algorithm performance, this numerical study is not
intended to conclude that one algorithm is dominantly superior to the another. Instead, this numerical study aims to shed
some light into how the algorithm performance might be when
it is applied to solve a set of numerical problems.
The performance measure is defined by
 
xk
,
(4)
(x0 )
where xk and correspond to the best solution found when
the algorithm is terminated and the true globally optimal function value, respectively. This quantity measures how much the
objective function value has been reduced by the algorithm
when it is terminated. Therefore, when it is close to zero, it
means the algorithm is around the optimum; on the other hand,
when it is close to one, the algorithm is far from the optimum
or even diverges.
Due to the consideration that users may have limited knowledge about the optimal solution, the initial solution x0 is

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415

TABLE I
P ERFORMANCE C OMPARISON W HEN X N ORMAL(0, g(X)), = 0.9

TABLE II
P ERFORMANCE C OMPARISON W HEN X N ORMAL(0, g(X)), = 0.8

TABLE III
P ERFORMANCE C OMPARISON W HEN X E XPONENTIAL( = g(X)), = 0.9

TABLE IV
P ERFORMANCE C OMPARISON W HEN X E XPONENTIAL( = g(X)), = 0.8

randomly selected in X. For each algorithm and each scenario,


30 macroreplications are run. For each macroreplication, we
stop the algorithm when the maximum function evaluations
30,000 are reached and report the performance measure as
well as the associated standard deviation (given in the parenthesis). Note that this is not to imply that all algorithms would
converge when 30,000 observations are consumed. Instead,
it is simply a termination criterion used as a fair basis for
comparing the performance of four algorithms.
All the problems are solved using the computer with
Intel(R) Core(TM)2 Duo CPU (2.26 GHz, 2.27 GHz) and
4 GB of RAM. Tables IIV show the results of Eqn. (4) for 12
scenarios solved by four algorithms under comparison. Overall
speaking, AGLS-QC has robust and satisfactory performance
over 12 scenarios. In particular, under the same computational
budget, AGLS-QC is able to find a solution of much better quality compared to NM, SA, and PS. This is because
AGLS-QC has an efficient search strategy and incorporates
effective quantile estimation techniques. The other three algorithms, on the other hand, lack effectiveness and efficiency

when handling problems where only noisy objective function


values are available.
VI. A N E MPIRICAL S TUDY
In order to validate the viability of this research, we conduct
an empirical study based on real data in collaboration with
a leading semiconductor company in Taiwan. This study is
parallel to that given in [2]. Figure 2 shows a partial simulation
model developed for evaluating the system performance, i.e.,
cycle time, under different scenarios of product mix. While
the developed simulation model is a scaled-down version of
an actual fab, it includes the important characteristics of the
real semiconductor manufacturing process including re-entrant
flow, batch machines, and engineering lots with equipment
reservation policy.
A few details of the simulation model are given as follows:
Priority among lot types: RLs > HLs > NLs.
Both RL and HL are processed based on equipment reservation policy: an entire machine is reserved for RL, and
a load port of a machine is reserved for HL.

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TABLE VI
O PTIMAL P RODUCT M IX BY AGLS-QC

An extensive discussion with production managers, the


product mix problem is defined as follows:


Minx 0.9 GCT,1 (x, )


s.t. 0.8 GCT,3 (x, ) 65
3


Fig. 2. A simulation model for the semiconductor manufacturing process [2].

TABLE V
E XAMPLES OF ROUTE S HEET

The storage and handling systems are assumed to have


infinite capacities.
The batch mode is enforced strictly, and the batch size
can vary with machine groups (from 2 to 6 lots).
The number of load ports can be different with machine
groups (from 2 to 6).
The rework rates are assumed 15% and 1% for engineering lots (RLs and HLs) and NLs, respectively.
Table V provides some examples of the route sheet. In
particular, the column of Step encoded by a sequence of
numbers represents the next processing step. In order to simplify the simulation model for reducing execution time, a
machine group is used to replace a machine, and additional
noise is added with raw processing time to emulate the flow
time in the actual manufacturing system.
The simulation model is verified and validated with the
assistance of domain experts to ensure that it can faithfully
represent the actual manufacturing process. In addition, statistical analysis is performed to ascertain the outputs of the
simulation model have the similar behavior with those of the
actual manufacturing process.

xi = 1.

(5)

i=1

The above model is to seek the product mix that can achieve
0.9-quantile of CT of RLs, while ensuring that the 0.8-quantile
of CT of NLs can be less than 65. Table VI provides the
optimal product mix solved by AGLS-QC. It is suggested that
the fractions of RLs, HLs and NLs, should 0.12, 0.2 and 0.68,
respectively.
This optimal product mix is then implemented in the wafer
fab as follows. Based on the wafer start in the fab, the optimal product mix can be converted into the quantity of wafers
of RLs, HLs, and NLs that would be released into the manufacturing system. It is remarkable that since the cycle times
of RLs, HLs and NLs are different, the fraction of RL, HL
and NL in the WIP may change with time. Therefore, production engineers typically monitor the product mix in the WIP
and determine how many more wafers of RLs, HLs and NLs
should be released into the manufacturing system on a daily
basis in order to stick to the optimal product mix.
After the suggested product mix is implemented, it is found
that, compared to the current practice, the 0.9-quantile of CT
of RLs is decrased by 28% and the constraint of CT of NLs
is also satisfied. This result shows that the proposed model
and the solution method can truly result in the product mix
that has satisfactory performance in practice, thus validating
the viability of this research in practical settings.
VII. C ONCLUSION
In this paper, we proposed a quantile-based simulation optimization model to characterize the risk-controlled product mix
planning in semiconductor manufacturing and applied a solution method, AGLS-QC, to obtain the optimal product mix in
semiconductor manufacturing with risks taken into consideration. As opposed to the existing analytical models that require
assumptions to obtain mathematical tractability, the proposed
model and the solution method use simulation as a tool to
evaluate the system performance where all the important manufacturing details are allowed to be taken into consideration.
Moreover, the novel quantile-based formulation allows for the
control of the upside risk associated with the selection of
the product mix. An extensive numerical study shows that
the performance AGLS-QC is promising and is more efficient
compared to three existing heuristics. Finally, an empirical
study conducted in collaboration with a leading semiconductor

CHANG: RISK-CONTROLLED PRODUCT MIX PLANNING IN SEMICONDUCTOR MANUFACTURING

company in Taiwan validates the viability of this research in


practical settings.
Future research includes extending AGLS-QC to solve problems with more complex constraints, e.g., chance constraints.
One example is that the probability that the CT of NLs is
greater than 60 days is less than 10%. This type of constraints
is often encountered in many practical situations. Moreover,
because AGLS-QC is essentially a direct search method, it
may not be able to find the optimal solution efficiently when
the feasible region is extremely large, for example, when
the number of decision variables is large. There is a need
to improve the algorithm efficiency for problems of large
dimensionality.
A PPENDIX
A. Test Problems
5


min 50
x

xi2 + 42x1 + 44x2 + 45x3 + 47x4


+ 47.5x5 + 17 + x
s.t. [20x1 + 12x2 + 11x3 + 7x4 + 4x5 + x ] 50
5

xi = 1
i=1

xi 0, i = 1, . . . , 5.

5


(6)

xi2 10.5x1 7.5x2 3.5x3 2.5x4

i=1

1.5x5 1/2x6 + 213 + x

xi 0, i = 1, . . . , 6

(7)

Problem 3:

2
2

min
10 xi+1 xi2
+ (1 xi )2
2

2
90 xi+3 xi+2
+ (1 xi+2 )2

2
+
10(xi+1 + xi+3 2)

2
+ 1/ 10(xi+1 xi+3 ) + x
+

Wi G(i)

(10)

xi = 1

i=1

xi 0, i = 1, . . . , 6.

where Wi = Ii/n {(n + 1), (1 )(n + 1)} I(i1)/n {(n + 1),


(1 )(n + 1)} and where Ix (a, b) denotes the incomplete beta
function. Reference [25] proved that 2 is also asymptotically
unbiased.
All the above discussion is focused on single-sample-based
quantile estimators, which requires extensive storage space
to save all observations. Moreover, the computation requires
sorting all observations once again when there are new observations and thus takes much more time. We propose the use
of the multiple-sample-based quantile estimator given in [19].
The quantile is estimated by computing the sample mean of N
independent single-sample quantile estimates 2 . Specifically,
(i)
let (x; l) denote the ith single-sample quantile estimate
obtained based on l observations, i = 1, . . . , k. Then, the
multiple-sample estimator is the sample average of the N
single-sample estimators
N


(i) (x; l),

(11)

where N is referred to as the sample size in the algorithm.


Compared to the single-sample-based quantile estimator, the
multiple-sample estimator has the advantage that the algorithm only needs to keep track of (x) and updates it
when more independent single-sample quantile estimates are
obtained. More importantly, when N is appropriately chosen, the multiple-sample estimator can allow the algorithm to
correctly rank a set of solutions.
R EFERENCES



s.t. 127 + 2x12 + 3x24 + x3 + 4x44 + 5x5 + x 0
5


n


i=1

i=1

i=1

where [n] denotes the largest integer less than or equal to


n. The upsides of 1 are that it is strongly consistent for
(x) and that it is asymptotically normal [23]. However, the
downside of 1 is that it is an inefficient estimator due to its
large variance. To address this, the following L-estimator is
proposed to estimate quantiles using linear combinations of
order statistics [24]:

(x) = N 1

s.t. [6x1 + 3x2 + 3x3 + 2x4 + x5 + x ] 10


6

xi = 1

For any fixed x, let G(1) G(2) . . . G(n) be order statistics obtained by sorting the observations {Gi , i = 1, 2, . . . , n}
in an ascending order. One traditional quantile estimator is:

G[n]
if = 0
1 =
(9)
if > 0
G[n]+1

i=1

i=1

min 0.5

B. Quantile Estimation

2 =

Problem 1:

Problem 2:

417

(8)

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Kuo-Hao Chang received his Ph.D. degree in industrial engineering


from Purdue University. He is an Associate Professor with the Industrial
Engineering and Engineering Management, National Tsing Hua University.
His research interests include simulation optimization, stochastic models, and
Monte Carlo simulation. He was a recipient of the 2012 Bonder Scholar
Research Award by INFORMS, 2015 IIE Transactions Best Application
Award by IIE, and the 2015 K. D. Tocher Medal by the OR Society. He
has consulted with many industrial companies including TSMC, VisEra,
YOMURA, and ITRI. He has been serving as an Executive Editor of the
Journal of Industrial and Production Engineering since 2012. He is a member
of INFORMS, IIE and IEEE.