NDLI: A Framework for Selecting a Selection Procedure

Content Provider	ACM Digital Library
Author	Waeber, Rolf Frazier, Peter I. Henderson, Shane G.
Copyright Year	2012
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.
Starting Page	1
Ending Page	23
Page Count	23
File Format	PDF
ISSN	10493301
e-ISSN	15581195
DOI	10.1145/2331140.2331144
Volume Number	22
Issue Number	3
Journal	ACM Transactions on Modeling and Computer Simulation (TOMACS)
Language	English
Publisher	Association for Computing Machinery (ACM)
Publisher Date	2012-08-01
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Bayesian Ranking and selection Acceptable procedures Convex risk measures Decision theory Indifference zone Robustness analysis
Content Type	Text
Resource Type	Article
Subject	Computer Science Applications Modeling and Simulation

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