Selecting the best simulated system with weighted control-variate estimators

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

Ranking and selection (R&S) procedures have been considered an effective tool to solve simulation optimization problems with a discrete and finite decision space. Control variate (CV) is a variance reduction technique that requires no intervention in the way the simulation experiment is performed, and the least-squares regression package needed to implement CV is readily available. In this paper we propose two provably valid selection procedures that employ weighted CV estimators in different ways. Both procedures are guaranteed to select the best system with a prespecified confidence level. Empirical results and simple analyses are performed to compare the efficiency of our new procedures with some existing procedures.

原文English
頁(從 - 到)705-717
頁數13
期刊Mathematics and Computers in Simulation
82
發行號4
DOIs
出版狀態Published - 2011 12月 1

All Science Journal Classification (ASJC) codes

  • 理論電腦科學
  • 電腦科學(全部)
  • 數值分析
  • 建模與模擬
  • 應用數學

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