DocumentCode :
48405
Title :
Optimal Computing Budget Allocation for Complete Ranking
Author :
Hui Xiao ; Loo Hay Lee ; Kien Ming Ng
Author_Institution :
Dept. of Ind. & Syst. Eng., Nat. Univ. of Singapore, Singapore, Singapore
Volume :
11
Issue :
2
fYear :
2014
fDate :
Apr-14
Firstpage :
516
Lastpage :
524
Abstract :
Previous research in ranking and selection focused on selecting the best design and subset selection. Little research has been done for ranking all designs completely. Complete ranking has been applied to design of experiment, random number generator and population-based search algorithms. In this paper, we consider the problem of ranking all designs. Our objective is to develop an efficient simulation allocation procedure that maximizes the probability of correct ranking with fixed limited computing budget. A previous allocation strategy of complete ranking based on indifference zone formulation is conservative and not efficient enough. We use the optimal computing budget allocation framework to further enhance the efficiency and reduce the amount of budget needed to achieve the same probability of correct ranking. Compared with the previous allocation strategy, our proposed allocation rule performs best under different scenarios.
Keywords :
design of experiments; optimisation; probability; random number generation; search problems; complete ranking; correct ranking probability; design of experiment; indifference zone formulation; optimal computing budget allocation strategy; random number generator; search algorithms; simulation allocation procedure; subset selection; Algorithm design and analysis; Analytical models; Computational modeling; Gaussian distribution; Optimization; Resource management; Upper bound; Complete ranking; heuristic algorithm; large deviation theory; optimal computing budget allocation; simulation;
fLanguage :
English
Journal_Title :
Automation Science and Engineering, IEEE Transactions on
Publisher :
ieee
ISSN :
1545-5955
Type :
jour
DOI :
10.1109/TASE.2013.2239289
Filename :
6457421
Link To Document :
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