Combined screening and selection of the best with control variates

Shing Chih Tsai, Barry L. Nelson, Jeremy Staum

Research output: Chapter in Book/Report/Conference proceedingChapter

7 Citations (Scopus)

Abstract

Nelson and Staum derived ranking-and-selection (R&S) procedures that employ control-variate (CV) estimators instead of sample means to obtain greater statistical efficiency. However, control-variate estimators require more computational effort than sample means, and effective controls must be identified. In this paper, we present a new CV screening procedure to avoid much of the computation cost along with a better paired CV model than that of Nelson and Staum. We also present a two-stage CV combined procedure that captures the ability to eliminate inferior systems in the first stage and the statistical efficiency of control variates for selection in the second stage. Some guidelines about control-variate selection and an empirical evaluation are provided.

Original languageEnglish
Title of host publicationInternational Series in Operations Research and Management Science
PublisherSpringer New York LLC
Pages263-289
Number of pages27
DOIs
Publication statusPublished - 2009 Jan 1

Publication series

NameInternational Series in Operations Research and Management Science
Volume133
ISSN (Print)0884-8289

All Science Journal Classification (ASJC) codes

  • Software
  • Computer Science Applications
  • Strategy and Management
  • Management Science and Operations Research
  • Applied Mathematics

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