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Combined Screening and Selection of the Best with Control Variates

In: Advancing the Frontiers of Simulation

Author

Listed:
  • Shing Chih Tsai

    (National Cheng Kung University)

  • Barry L. Nelson

    (Northwestern University)

  • Jeremy Staum

    (Northwestern University)

Abstract

Nelson and Staum derived ranking-and-selection (R&S) procedures that employ control-variate (CV) estimators instead of sample means to obtain greater statistical efficiency. However, control-variate estimators require more computational effort than sample means, and effective controls must be identified. In this paper, we present a new CV screening procedure to avoid much of the computation cost along with a better paired CV model than that of Nelson and Staum. We also present a two-stage CV combined procedure that captures the ability to eliminate inferior systems in the first stage and the statistical efficiency of control variates for selection in the second stage. Some guidelines about control-variate selection and an empirical evaluation are provided.

Suggested Citation

  • Shing Chih Tsai & Barry L. Nelson & Jeremy Staum, 2009. "Combined Screening and Selection of the Best with Control Variates," International Series in Operations Research & Management Science, in: Christos Alexopoulos & David Goldsman & James R. Wilson (ed.), Advancing the Frontiers of Simulation, pages 263-289, Springer.
    • Handle: RePEc:spr:isochp:978-1-4419-0817-9_12
    DOI: 10.1007/b110059_12
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    Citations

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    Cited by:

    1. Tsai, Shing Chih & Chu, I-Hao, 2012. "Controlled multistage selection procedures for comparison with a standard," European Journal of Operational Research, Elsevier, vol. 223(3), pages 709-721.
    2. Shing Chih Tsai & Jun Luo & Chi Ching Sung, 2017. "Combined variance reduction techniques in fully sequential selection procedures," Naval Research Logistics (NRL), John Wiley & Sons, vol. 64(6), pages 502-527, September.
    3. Shing Chih Tsai & Chen Hao Kuo, 2012. "Screening and selection procedures with control variates and correlation induction techniques," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(5), pages 340-361, August.

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