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Self-adjusting the tolerance level in a fully sequential feasibility check procedure

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  • Lee, Mi Lim
  • Park, Chuljin
  • Park, Dong Uk

Abstract

We consider the problem of determining the feasibility of systems when the performance measures in stochastic constraints need to be evaluated via simulation. We develop a new procedure, namely the adaptive feasibility check procedure. Specifically, the procedure uses an existing feasibility check procedure iteratively as its subroutine with a decreasing sequence of tolerance levels. Our procedure is designed to return the set of strictly feasible systems with at least a prespecified probability. The validity and efficiency of the procedure are investigated through both analytical and experimental results. The procedure is also tested using numerical examples.

Suggested Citation

  • Lee, Mi Lim & Park, Chuljin & Park, Dong Uk, 2018. "Self-adjusting the tolerance level in a fully sequential feasibility check procedure," European Journal of Operational Research, Elsevier, vol. 271(2), pages 733-745.
    • Handle: RePEc:eee:ejores:v:271:y:2018:i:2:p:733-745
    DOI: 10.1016/j.ejor.2018.05.045
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    References listed on IDEAS

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    1. Chuljin Park & Seong-Hee Kim, 2015. "Penalty Function with Memory for Discrete Optimization via Simulation with Stochastic Constraints," Operations Research, INFORMS, vol. 63(5), pages 1195-1212, October.
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    4. Weiwei Fan & L. Jeff Hong & Barry L. Nelson, 2016. "Indifference-Zone-Free Selection of the Best," Operations Research, INFORMS, vol. 64(6), pages 1499-1514, December.
    5. Sigrún Andradóttir & Seong‐Hee Kim, 2010. "Fully sequential procedures for comparing constrained systems via simulation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 57(5), pages 403-421, August.
    6. Susan R. Hunter & Raghu Pasupathy, 2013. "Optimal Sampling Laws for Stochastically Constrained Simulation Optimization on Finite Sets," INFORMS Journal on Computing, INFORMS, vol. 25(3), pages 527-542, August.
    7. Peter I. Frazier, 2014. "A Fully Sequential Elimination Procedure for Indifference-Zone Ranking and Selection with Tight Bounds on Probability of Correct Selection," Operations Research, INFORMS, vol. 62(4), pages 926-942, August.
    8. Healey, Christopher M. & Andradóttir, Sigrún & Kim, Seong-Hee, 2013. "Efficient comparison of constrained systems using dormancy," European Journal of Operational Research, Elsevier, vol. 224(2), pages 340-352.
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    Cited by:

    1. Cheng, Zhenxia & Luo, Jun & Wu, Ruijing, 2023. "On the finite-sample statistical validity of adaptive fully sequential procedures," European Journal of Operational Research, Elsevier, vol. 307(1), pages 266-278.
    2. Yuwei Zhou & Sigrún Andradóttir & Seong-Hee Kim & Chuljin Park, 2022. "Finding Feasible Systems for Subjective Constraints Using Recycled Observations," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 3080-3095, November.

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