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Fully sequential selection procedures with control variates

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Fully sequential selection procedures with control variates. / Tsai, Shing Chih; Nelson, Barry L.
In: IIE Transactions, Vol. 42, No. 1, 10.2009, p. 71-82.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Tsai, SC & Nelson, BL 2009, 'Fully sequential selection procedures with control variates', IIE Transactions, vol. 42, no. 1, pp. 71-82. https://doi.org/10.1080/07408170903228942

APA

Tsai, S. C., & Nelson, B. L. (2009). Fully sequential selection procedures with control variates. IIE Transactions, 42(1), 71-82. https://doi.org/10.1080/07408170903228942

Vancouver

Tsai SC, Nelson BL. Fully sequential selection procedures with control variates. IIE Transactions. 2009 Oct;42(1):71-82. doi: 10.1080/07408170903228942

Author

Tsai, Shing Chih ; Nelson, Barry L. / Fully sequential selection procedures with control variates. In: IIE Transactions. 2009 ; Vol. 42, No. 1. pp. 71-82.

Bibtex

@article{ffb414acbad642d7a2afa53af8a1d170,
title = "Fully sequential selection procedures with control variates",
abstract = "Fully sequential selection procedures have been developed in the field of stochastic simulation to find the simulated system with the best expected performance when the number of alternatives is finite. Kim and Nelson proposed the KN procedure to allow for unknown and unequal variances and the use of common random numbers. KN approximates the raw sum of differences between observations from two systems as a Brownian motion process with drift and uses a triangular continuation region to decide the stopping time of the selection process. In this paper new fully sequential selection procedures are derived that employ a more effective sum of differences, which is called a controlled sum. Two provably valid procedures and an approximate procedure are described. Empirical results and a realistic illustration are provided to compare the efficiency of these procedures with other procedures that solve the same problem.",
author = "Tsai, {Shing Chih} and Nelson, {Barry L.}",
year = "2009",
month = oct,
doi = "10.1080/07408170903228942",
language = "English",
volume = "42",
pages = "71--82",
journal = "IIE Transactions",
issn = "0740-817X",
publisher = "Taylor and Francis Ltd.",
number = "1",

}

RIS

TY - JOUR

T1 - Fully sequential selection procedures with control variates

AU - Tsai, Shing Chih

AU - Nelson, Barry L.

PY - 2009/10

Y1 - 2009/10

N2 - Fully sequential selection procedures have been developed in the field of stochastic simulation to find the simulated system with the best expected performance when the number of alternatives is finite. Kim and Nelson proposed the KN procedure to allow for unknown and unequal variances and the use of common random numbers. KN approximates the raw sum of differences between observations from two systems as a Brownian motion process with drift and uses a triangular continuation region to decide the stopping time of the selection process. In this paper new fully sequential selection procedures are derived that employ a more effective sum of differences, which is called a controlled sum. Two provably valid procedures and an approximate procedure are described. Empirical results and a realistic illustration are provided to compare the efficiency of these procedures with other procedures that solve the same problem.

AB - Fully sequential selection procedures have been developed in the field of stochastic simulation to find the simulated system with the best expected performance when the number of alternatives is finite. Kim and Nelson proposed the KN procedure to allow for unknown and unequal variances and the use of common random numbers. KN approximates the raw sum of differences between observations from two systems as a Brownian motion process with drift and uses a triangular continuation region to decide the stopping time of the selection process. In this paper new fully sequential selection procedures are derived that employ a more effective sum of differences, which is called a controlled sum. Two provably valid procedures and an approximate procedure are described. Empirical results and a realistic illustration are provided to compare the efficiency of these procedures with other procedures that solve the same problem.

U2 - 10.1080/07408170903228942

DO - 10.1080/07408170903228942

M3 - Journal article

VL - 42

SP - 71

EP - 82

JO - IIE Transactions

JF - IIE Transactions

SN - 0740-817X

IS - 1

ER -