A new budget allocation framework for selecting top simulated designs

Siyang Gao, Weiwei Chen

Research output: Contribution to journalArticlepeer-review

18 Scopus citations

Abstract

In this article, the problem of selecting an optimal subset from a finite set of simulated designs is considered. Given the total simulation budget constraint, the selection problem aims to maximize the Probability of Correct Selection (PCS) of the top m designs. To simplify the complexity of the PCS, an approximated probability measure is developed and an asymptotically optimal solution of the resulting problem is derived. A subset selection procedure, which is easy to implement in practice, is then designed. More important, we provide some useful insights on characterizing an efficient subset selection rule and how it can be achieved by adjusting the simulation budgets allocated to all of the designs.

Original languageEnglish (US)
Pages (from-to)855-863
Number of pages9
JournalIIE Transactions (Institute of Industrial Engineers)
Volume48
Issue number9
DOIs
StatePublished - Sep 1 2016

All Science Journal Classification (ASJC) codes

  • Industrial and Manufacturing Engineering

Keywords

  • OCBA
  • Simulation optimization
  • simulation budget allocation
  • subset selection

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