A fully sequential procedure for indifference-zone selection in simulation
- 1 July 2001
- journal article
- Published by Association for Computing Machinery (ACM) in ACM Transactions on Modeling and Computer Simulation
- Vol. 11 (3), 251-273
- https://doi.org/10.1145/502109.502111
Abstract
We present procedures for selecting the best or near-best of a finite number of simulated systems when best is defined by maximum or minimum expected performance. The procedures are appropriate when it is possible to repeatedly obtain small, incremental samples from each simulated system. The goal of such a sequential procedure is to eliminate, at an early stage of experimentation, those simulated systems that are apparently inferior, and thereby reduce the overall computational effort required to find the best. The procedures we present accommodate unequal variances across systems and the use of common random numbers. However, they are based on the assumption of normally distributed data, so we analyze the impact of batching (to achieve approximate normality or independence) on the performance of the procedures. Comparisons with some existing indifference-zone procedures are also provided.Keywords
This publication has 18 references indexed in Scilit:
- Ranking and Selection for Steady-State Simulation: Procedures and PerspectivesINFORMS Journal on Computing, 2002
- New Two-Stage and Sequential Procedures for Selecting the Best Simulated SystemOperations Research, 2001
- New Procedures to Select the Best Simulated System Using Common Random NumbersManagement Science, 2001
- Two-stage multiple-comparison procedures for steady-state simulationsACM Transactions on Modeling and Computer Simulation, 1999
- A lower bound for the correct subset-selection probability and its application to discrete-event system simulationsIEEE Transactions on Automatic Control, 1996
- An improvement on paulson's procedure for selecting the poprlation with the largest mean from k normal populations with a common unknown varianceSequential Analysis, 1991
- A comparison of the performances of procedures for selecting the normal population having the largest mean when the populations have a common unknown varianceCommunications in Statistics - Simulation and Computation, 1990
- An improvement on paulson s sequential ranking procedureSequential Analysis, 1988
- Multiple Comparison ProceduresWiley Series in Probability and Statistics, 1987
- Note on Anderson's Sequential Procedures with Triangular BoundaryThe Annals of Statistics, 1974