Title :
Optimal computing budget allocation under correlated sampling
Author :
Fu, Michael C. ; Hu, Jian-Qiang ; Chen, Chun-Hung ; Xiong, Xiaoping
Author_Institution :
Robert H. Smith Sch. of Bus., Maryland Univ., College Park, MD, USA
Abstract :
We consider the optimal computing budget allocation (OCBA) problem where the simulated designs are correlated. The exact optimal allocation is presented for two designs, and an approximation proposed for more than two designs. Numerical experiments for several examples compare the approximation with some other allocation procedures. Results on convergence rates and the nonGaussian setting are also discussed.
Keywords :
budgeting; correlation methods; covariance analysis; optimisation; probability; resource allocation; sampling methods; simulation; correlated sampling; nonGaussian distribution; optimal computing budget allocation problem; Computational efficiency; Computational modeling; Convergence; Covariance matrix; Educational institutions; Manufacturing; Operations research; Personal communication networks; Sampling methods; Systems engineering and theory;
Conference_Titel :
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN :
0-7803-8786-4
DOI :
10.1109/WSC.2004.1371366
