A framework for selecting a selection procedure. Waeber, R., Frazier, P. I., & Henderson, S. G. ACM Transactions on Modeling and Computer Simulation, 22(4):Article 16, 2012.
A framework for selecting a selection procedure [link]Paper  abstract   bibtex   1 download  
For many discrete simulation optimization applications, it is often difficult to decide which Ranking and Selection (R&S) procedure to use. To efficiently compare R&S procedures, we present a three-layer performance evaluation process. We show that the two most popular performance formulations, namely the Bayesian formulation and the indifference zone formulation, have a common representation analogous to convex risk measures used in mathematical finance. We then specify how a decision maker can impose a performance requirement on R&S procedures that is more adequate for her risk attitude than the indifference zone or the Bayesian performance requirements. Such a performance requirement partitions the space of R&S procedures into acceptable and nonacceptable procedures. The minimal computational budget required for a procedure to become acceptable introduces an easy-to-interpret preference order on the set of R&S policies. We demonstrate with a numerical example how the introduced framework can be used to guide the choice of selection procedure in practice.
@article{waefrahen12,
	abstract = {For many discrete simulation optimization applications, it is often difficult to decide which Ranking and Selection (R\&S) procedure to use. To efficiently compare R\&S procedures, we present a three-layer performance evaluation process. We show that the two most popular performance formulations, namely the Bayesian formulation and the indifference zone formulation, have a common representation analogous to convex risk measures used in mathematical finance. We then specify how a decision maker can impose a performance requirement on R\&S procedures that is more adequate for her risk attitude than the indifference zone or the Bayesian performance requirements. Such a performance requirement partitions the space of R\&S procedures into acceptable and nonacceptable procedures. The minimal computational budget required for a procedure to become acceptable introduces an easy-to-interpret preference order on the set of R\&S policies. We demonstrate with a numerical example how the introduced framework can be used to guide the choice of selection procedure in practice.},
	annote = {pubs/selectionframework.pdf},
	author = {Rolf Waeber and Peter I. Frazier and Shane G. Henderson},
	date-added = {2016-01-10 16:07:54 +0000},
	date-modified = {2018-07-16 17:45:33 +0000},
	journal = {ACM Transactions on Modeling and Computer Simulation},
	number = {4},
	pages = {Article 16},
	title = {A framework for selecting a selection procedure},
	url_paper = {https://dl.acm.org/authorize?N654075},
	volume = {22},
	year = {2012}}
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