Efficient Simulation Budget Allocation for Ranking the Top m Designs
We consider the problem of ranking the top m designs out of k alternatives. Using the optimal computing budget allocation framework, we formulate this problem as that of maximizing the probability of correctly ranking the top m designs subject to the constraint of a fixed limited simulation budget....
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/195054 |
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| _version_ | 1832556178994888704 |
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| author | Hui Xiao Loo Hay Lee |
| author_facet | Hui Xiao Loo Hay Lee |
| author_sort | Hui Xiao |
| collection | DOAJ |
| description | We consider the problem of ranking the top m designs out of k alternatives. Using the optimal computing budget allocation framework, we formulate this problem as that of maximizing the probability of correctly ranking the top m designs subject to the constraint of a fixed limited simulation budget. We derive the convergence rate of the false ranking probability based on the large deviation theory. The asymptotically optimal allocation rule is obtained by maximizing this convergence rate function. To implement the simulation budget allocation rule, we suggest a heuristic sequential algorithm. Numerical experiments are conducted to compare the effectiveness of the proposed simulation budget allocation rule. The numerical results indicate that the proposed asymptotically optimal allocation rule performs the best comparing with other allocation rules. |
| format | Article |
| id | doaj-art-3c31d73dc23042889d8c27eb2b41b074 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-3c31d73dc23042889d8c27eb2b41b0742025-02-03T05:46:04ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2014-01-01201410.1155/2014/195054195054Efficient Simulation Budget Allocation for Ranking the Top m DesignsHui Xiao0Loo Hay Lee1School of Statistics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaDepartment of Industrial and Systems Engineering, National University of Singapore, 117576, SingaporeWe consider the problem of ranking the top m designs out of k alternatives. Using the optimal computing budget allocation framework, we formulate this problem as that of maximizing the probability of correctly ranking the top m designs subject to the constraint of a fixed limited simulation budget. We derive the convergence rate of the false ranking probability based on the large deviation theory. The asymptotically optimal allocation rule is obtained by maximizing this convergence rate function. To implement the simulation budget allocation rule, we suggest a heuristic sequential algorithm. Numerical experiments are conducted to compare the effectiveness of the proposed simulation budget allocation rule. The numerical results indicate that the proposed asymptotically optimal allocation rule performs the best comparing with other allocation rules.http://dx.doi.org/10.1155/2014/195054 |
| spellingShingle | Hui Xiao Loo Hay Lee Efficient Simulation Budget Allocation for Ranking the Top m Designs Discrete Dynamics in Nature and Society |
| title | Efficient Simulation Budget Allocation for Ranking the Top m Designs |
| title_full | Efficient Simulation Budget Allocation for Ranking the Top m Designs |
| title_fullStr | Efficient Simulation Budget Allocation for Ranking the Top m Designs |
| title_full_unstemmed | Efficient Simulation Budget Allocation for Ranking the Top m Designs |
| title_short | Efficient Simulation Budget Allocation for Ranking the Top m Designs |
| title_sort | efficient simulation budget allocation for ranking the top m designs |
| url | http://dx.doi.org/10.1155/2014/195054 |
| work_keys_str_mv | AT huixiao efficientsimulationbudgetallocationforrankingthetopmdesigns AT loohaylee efficientsimulationbudgetallocationforrankingthetopmdesigns |