A comparison of two parallel ranking and selection procedures

Traditional solutions to ranking and selection problems include two-stage procedures (e.g., the NSGS procedure of Nelson et al. 2001) and fully-sequential screening procedures (e.g., Kim and Nelson 2001 and Hong 2006). In a parallel computing environment, a naively-parallelized NSGS procedure may require more simulation replications than a sequential screening procedure such as that of Ni, Hunter, and Henderson (2013) (NHH), but requires less communication since there is no periodic screening. The parallel procedure NHH may require less simulation replications overall, but requires more communication to implement periodic screening. We numerically explore the trade-offs between these two procedures on a parallel computing platform. In particular, we discuss their statistical validity, efficiency, and implementation, including communication and load-balancing. Inspired by the comparison results, we propose a framework for hybrid procedures that may further reduce simulation cost or guarantee to select a good system when multiple systems are clustered near the best.