Better-than-optimal simulation run allocation?

Simulation is a popular tool for decision making. However, simulation efficiency is still a big concern particularly when multiple system designs must be simulated in order to find a best design. Simulation run allocation has emerged as an important research topic for simulation efficiency improvement. By allocating simulation runs in a more intelligent way, the total simulation time can be dramatically reduced. In this paper we develop a new simulation run allocation scheme. We compare the new approach with several different approaches. One benchmark approach assumes that the means and variances for all designs are known so that the theoretically optimal allocation can be found. It is interesting to observe that an approximation approach called OCBA does better than this theoretically optimal allocation. Moreover, a randomized version of OCBA may outperform OCBA in some cases.