Efficient comparison of constrained systems using dormancy
AbstractWe consider the problem of finding the best simulated system under a primary performance measure, while also satisfying stochastic constraints on secondary performance measures. We improve upon existing constrained selection procedures by allowing certain systems to become dormant, halting sampling for those systems as the procedure continues. A system goes dormant when it is found inferior to another system whose feasibility has not been determined, and returns to contention only if its superior system is eliminated. If found feasible, the superior system will eliminate the dormant system. By making systems dormant, we avoid collecting unnecessary observations from inferior systems. The paper also proposes other modifications, and studies the impact and benefits of our approaches (compared to similar constrained selection procedures) through experimental results and asymptotic approximations. Additionally, we discuss the difficulties associated with procedures that use sample means of unequal, random sample sizes, which commonly occurs within constrained selection and optimization-via-simulation.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 224 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/eor
Simulation; Ranking and selection; Stochastic constraints; Fully sequential algorithms; Multiple performance measures; Constrained selection;
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- Pichitlamken, Juta & Nelson, Barry L. & Hong, L. Jeff, 2006. "A sequential procedure for neighborhood selection-of-the-best in optimization via simulation," European Journal of Operational Research, Elsevier, vol. 173(1), pages 283-298, August.
- Teng, Suyan & Lee, Loo Hay & Chew, Ek Peng, 2010. "Integration of indifference-zone with multi-objective computing budget allocation," European Journal of Operational Research, Elsevier, vol. 203(2), pages 419-429, June.
- John Butler & Douglas J. Morrice & Peter W. Mullarkey, 2001. "A Multiple Attribute Utility Theory Approach to Ranking and Selection," Management Science, INFORMS, vol. 47(6), pages 800-816, June.
- Chen, E. Jack & Kelton, W. David, 2005. "Sequential selection procedures: Using sample means to improve efficiency," European Journal of Operational Research, Elsevier, vol. 166(1), pages 133-153, October.
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