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Efficient Fully Sequential Indifference-Zone Procedures Using Properties of Multidimensional Brownian Motion Exiting a Sphere
| Content Provider | Semantic Scholar |
|---|---|
| Author | Dieker, A. B. Kim, Seong-Hee |
| Copyright Year | 2016 |
| Abstract | We consider a ranking and selection (R&S) problem whose goal is to select a system with the largest or smallest expected performance measure among a number of simulated systems with a pre-specified probability of correct selection. Fully sequential procedures take one observation from each survived system and eliminate inferior systems when there is clear statistical evidence that they are inferior. Most fully sequential procedures make elimination decisions based on sample performances of each possible pair of survived systems and exploit the bound crossing properties of a univariate Brownian motion. In this paper, we present new fully sequential procedures whose elimination decisions are based on sample performances of all competing systems. The analysis of the proposed procedures is based on the properties of a multidimensional Brownian motion exiting a sphere. We show that the new procedures significantly outperform a widely used fully sequential procedure while they show similar performances compared to BIZ, a recent fully-sequential procedure that uses a Bayesian approach. Subject classification: Simulation, Ranking and Selection, Fully Sequential, Multidimensional Brownian Motion, Sphere |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www2.isye.gatech.edu/~skim/DKDraftVer03.pdf |
| Alternate Webpage(s) | https://www2.isye.gatech.edu/~skim/DK_JoC_Ver06.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
