Title :
Performance measures for Ranking and Selection procedures
Author :
Waeber, Rolf ; Frazier, Peter I. ; Henderson, Shane G.
Author_Institution :
Dept. of Oper. Res. & Inf. Eng., Cornell Univ., Ithaca, NY, USA
Abstract :
To efficiently compare Ranking and Selection procedures, we present a three-layer performance evaluation process. The two most popular formulations, namely the Bayes and Indifference Zone formulations, have a common representation analogous to convex risk measures used in quantitative risk management. We study decision makers´ acceptance sets via an axiomatic approach and introduce a new performance measure using computational cost.
Keywords :
Bayes methods; decision making; financial management; risk management; stochastic processes; Bayes formulations; axiomatic approach; decision maker acceptance sets; indifference zone formulations; performance evaluation process; quantitative risk management; ranking procedure; selection procedure; Bayesian methods; Computational modeling; Optimization; Performance evaluation; Q measurement; Random variables;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location :
Baltimore, MD
Print_ISBN :
978-1-4244-9866-6
DOI :
10.1109/WSC.2010.5679067
