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Efficient multinomial selection in simulation

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  • J. O. Miller
  • Barry L. Nelson
  • Charles H. Reilly

Abstract

Consider a simulation experiment consisting of v independent vector replications across k systems, where in any given replication one system is selected as the best performer (i.e., it wins). Each system has an unknown constant probability of winning in any replication and the numbers of wins for the individual systems follow a multinomial distribution. The classical multinomial selection procedure of Bechhofer, Elmaghraby, and Morse (Procedure BEM) prescribes a minimum number of replications, denoted as v*, so that the probability of correctly selecting the true best system (PCS) meets or exceeds a prespecified probability. Assuming that larger is better, Procedure BEM selects as best the system having the largest value of the performance measure in more replications than any other system. We use these same v* replications across k systems to form (v*)k pseudoreplications that contain one observation from each system, and develop Procedure AVC (All Vector Comparisons) to achieve a higher PCS than with Procedure BEM. For specific small‐sample cases and via a large‐sample approximation we show that the PCS with Procedure AVC exceeds the PCS with Procedure BEM. We also show that with Procedure AVC we achieve a given PCS with a smaller v than the v* required with Procedure BEM. © 1998 John Wiley & Sons, Inc. Naval Research Logistics 45: 459–482, 1998

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  • J. O. Miller & Barry L. Nelson & Charles H. Reilly, 1998. "Efficient multinomial selection in simulation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 45(5), pages 459-482, August.
    • Handle: RePEc:wly:navres:v:45:y:1998:i:5:p:459-482
    DOI: 10.1002/(SICI)1520-6750(199808)45:53.0.CO;2-2
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    1. J.O. Miller & Barry L. Nelson & Charles H. Reilly, 2002. "Estimating the probability that a simulated system will be the best," Naval Research Logistics (NRL), John Wiley & Sons, vol. 49(4), pages 341-358, June.

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