Empirical Analysis of the performance of variance estimators in sequential single-run ranking & selection: The case of time dilation algorithm

Giulia Pedrielli, Yinchao Zhu, Loo Hay Lee, Haobin Li

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Scopus citations

Abstract

Ranking and Selection has acquired an important role in the Simulation-Optimization field, where the different alternatives can be evaluated by discrete event simulation (DES). Black box approaches have dominated the literature by interpreting the DES as an oracle providing i.i.d. observations. Another relevant family of algorithms, instead, runs each simulator once and observes time series. This paper focuses on such a method, Time Dilation with Optimal Computing Budget Allocation (TD-OCBA), recently developed by the authors. One critical aspect of TD-OCBA is estimating the response given correlated observations. In this paper, we are specifically concerned with the estimator of the variance of the response which plays a crucial role in simulation budget allocation. We propose an empirical analysis over the performance impact on TD-OCBA of several variance estimators involved in resource allocation. Their performances are discussed in the typical probability of correct selection (PCS) framework.

Original languageEnglish (US)
Title of host publication2016 Winter Simulation Conference
Subtitle of host publicationSimulating Complex Service Systems, WSC 2016
EditorsTheresa M. Roeder, Peter I. Frazier, Robert Szechtman, Enlu Zhou
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages738-748
Number of pages11
ISBN (Electronic)9781509044863
DOIs
StatePublished - Jul 2 2016
Externally publishedYes
Event2016 Winter Simulation Conference, WSC 2016 - Arlington, United States
Duration: Dec 11 2016Dec 14 2016

Publication series

NameProceedings - Winter Simulation Conference
Volume0
ISSN (Print)0891-7736

Other

Other2016 Winter Simulation Conference, WSC 2016
CountryUnited States
CityArlington
Period12/11/1612/14/16

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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