TY - GEN
T1 - Adaptive simulation budget allocation for determining the best design
AU - Fan, Qi
AU - Hu, Jiaqiao
PY - 2013
Y1 - 2013
N2 - We consider the problem of allocating a given simulation budget among a set of design alternatives in order to maximize the probability of correct selection. Prior work has focused on deriving static rules that predetermine the number of simulation replications to be allocated to each design. In contrast, we formulate the problem as a Markov decision process (MDP) and propose a dynamic myopic scheme to adaptively allocate simulation samples based on current estimates of the means and variances of the design alternatives. We provide numerical examples to illustrate the performance of the proposed dynamic allocation rule.
AB - We consider the problem of allocating a given simulation budget among a set of design alternatives in order to maximize the probability of correct selection. Prior work has focused on deriving static rules that predetermine the number of simulation replications to be allocated to each design. In contrast, we formulate the problem as a Markov decision process (MDP) and propose a dynamic myopic scheme to adaptively allocate simulation samples based on current estimates of the means and variances of the design alternatives. We provide numerical examples to illustrate the performance of the proposed dynamic allocation rule.
UR - https://www.scopus.com/pages/publications/84894144505
U2 - 10.1109/WSC.2013.6721480
DO - 10.1109/WSC.2013.6721480
M3 - Conference contribution
AN - SCOPUS:84894144505
SN - 9781479939503
T3 - Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
SP - 888
EP - 897
BT - Proceedings of the 2013 Winter Simulation Conference - Simulation
T2 - 2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
Y2 - 8 December 2013 through 11 December 2013
ER -