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Pareto set estimation with guaranteed probability of correct selection

Author

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  • Andradóttir, Sigrún
  • Lee, Judy S.

Abstract

We consider the ranking and selection problem with multiple objectives and present a procedure to estimate a Pareto set. We provide three different formulations, namely, simultaneously retaining all desirable systems and eliminating all undesirable systems, or achieving either one of the two aforementioned goals. We address situations where all systems and objectives have either independent or correlated observations (e.g., due to the use of common random numbers). In each case, we identify appropriate choices of parameter values and prove that the resulting algorithm guarantees the desired probability of correct selection in a finite amount of time. Numerical experiments are provided to support the validity and efficiency of the algorithms.

Suggested Citation

  • Andradóttir, Sigrún & Lee, Judy S., 2021. "Pareto set estimation with guaranteed probability of correct selection," European Journal of Operational Research, Elsevier, vol. 292(1), pages 286-298.
    • Handle: RePEc:eee:ejores:v:292:y:2021:i:1:p:286-298
    DOI: 10.1016/j.ejor.2020.10.021
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    Cited by:

    1. Chen, Wei-Hsin & Carrera Uribe, Manuel & Kwon, Eilhann E. & Lin, Kun-Yi Andrew & Park, Young-Kwon & Ding, Lu & Saw, Lip Huat, 2022. "A comprehensive review of thermoelectric generation optimization by statistical approach: Taguchi method, analysis of variance (ANOVA), and response surface methodology (RSM)," Renewable and Sustainable Energy Reviews, Elsevier, vol. 169(C).

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