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Separability in Optimal Allocation

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  • Bennet L. Fox

    (SIM-OPT Consulting, 872 Timber Lane Boulder, Colorado 80304)

Abstract

The optimal allocation for stratification, parameterized by the respective sampling strategy to use in each stratum, is derived directly from the notion of efficiency. Especially with simulation, there are often opportunities to maximize efficiency (myopically) within each stratum. To maximize efficiency globally, first maximize the efficiency of the sampling strategy for each stratum separately and then use the optimal allocation given these respective maximizers. Given any other allocation, maximizing the efficiency of the sampling strategy in each stratum separately does not give the highest efficiency attainable with that allocation except in degenerate cases. Given a class (C-script) of deterministic rounding strategies, the rounding of the (continuous) optimal allocation over (C-script), which maximizes efficiency, cannot be improved by a strategy that randomizes over (C-script).

Suggested Citation

  • Bennet L. Fox, 2000. "Separability in Optimal Allocation," Operations Research, INFORMS, vol. 48(1), pages 173-176, February.
    • Handle: RePEc:inm:oropre:v:48:y:2000:i:1:p:173-176
    DOI: 10.1287/opre.48.1.173.12454
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    References listed on IDEAS

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    1. Peter W. Glynn & Ward Whitt, 1992. "The Asymptotic Efficiency of Simulation Estimators," Operations Research, INFORMS, vol. 40(3), pages 505-520, June.
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    Cited by:

    1. Ruoxuan Xiong & Susan Athey & Mohsen Bayati & Guido Imbens, 2024. "Optimal Experimental Design for Staggered Rollouts," Management Science, INFORMS, vol. 70(8), pages 5317-5336, August.

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