Title :
A transient means ranking and selection procedure with sequential sampling constraints
Author :
Morrice, Douglas J. ; Brantley, Mark W. ; Chen, Chun-Hung
Author_Institution :
Red McCombs Sch. of Bus., Univ. of Texas at Austin, Austin, TX, USA
Abstract :
We develop a Ranking and Selection procedure for selecting the best configuration based on a transient mean performance measure. The procedure extends the OCBA approach to systems whose means are a function of some other variable such as time. In particular, we characterize this as a prediction problem and imbed a regression model in the OCBA procedure. In this paper, we analyze a problem with sequential sampling constraints for each configuration and offer a heuristic to use a polynomial regression model when variance reduction is possible.
Keywords :
budgeting; polynomials; regression analysis; optimal computing budget allocation; polynomial regression model; ranking procedure; selection procedure; sequential sampling constraints; transient mean performance measure; Analysis of variance; Loss measurement; Performance loss; Polynomials; Predictive models; Regression analysis; Sampling methods; Statistics; Steady-state; Time measurement;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2009 Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-5770-0
DOI :
10.1109/WSC.2009.5429661