Advances in ranking and selection: variance estimation and constraints

Multiple performance measures;Selection of the best system;Steady-state simulation

Healey, Christopher M. ; Industrial and Systems Engineering

University:Georgia Institute of Technology

Department:Industrial and Systems Engineering

关键词: Multiple performance measures;    Selection of the best system;    Steady-state simulation;   

Others  :  https://smartech.gatech.edu/bitstream/1853/34768/1/healey_christopher_m_201008_phd.pdf

美国|英语

来源: SMARTech Repository

【 摘 要 】

In this thesis, we first show that the performance of ranking and selection (R&S) procedures in steady-state simulations depends highly on the quality of the variance estimates that are used. We study the performance of R&S procedures using three variance estimators --- overlapping area, overlapping Cramer--von Mises, and overlapping modified jackknifed Durbin--Watson estimators --- that show better long-run performance than other estimators previously used in conjunction with R&S procedures for steady-state simulations.We devote additional study to the development of the new overlapping modified jackknifed Durbin--Watson estimator and demonstrate some of its useful properties.Next, we consider the problem of finding the best simulated system under a primary performance measure, while also satisfying stochastic constraints on secondary performance measures, known as constrained ranking and selection.We first present a new framework that allows certain systems to become dormant, halting sampling for those systems as the procedure continues.We also develop general procedures for constrained R&S that guarantee a nominal probability of correct selection, under any number of constraints and correlation across systems.In addition, we address new topics critical to efficiency of the these procedures, namely the allocation of error between feasibility check and selection, the use of common random numbers, and the cost of switching between simulatedsystems.