In Jain, S., Creasey, R. R., Himmelspach, J., White, K. P., & Fu, M., editors, Proceedings of the 2011 Winter Simulation Conference, pages 4294–4302, Piscataway, NJ, 2011. Institute of Electrical and Electronics Engineers, Inc.. Finalist, Winter Simulation Conference Best Theoretical Paper Award.Paper doi abstract bibtex
Consider the context of selecting an optimal system from among a finite set of competing systems, based on a ``stochastic'' objective function and subject to a single ``stochastic'' constraint. In this setting, and assuming the objective and constraint performance measures have a bivariate normal distribution, we present a characterization of the optimal sampling allocation across systems. Unlike previous work on this topic, the characterized optimal allocations are asymptotically exact and expressed explicitly as a function of the correlation between the performance measures.