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Screening and selection procedures with control variates and correlation induction techniques

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  • Shing Chih Tsai
  • Chen Hao Kuo

Abstract

We consider the problem of identifying the simulated system with the best expected performance measure when the number of alternatives is finite and small (often

Suggested Citation

  • Shing Chih Tsai & Chen Hao Kuo, 2012. "Screening and selection procedures with control variates and correlation induction techniques," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(5), pages 340-361, August.
    • Handle: RePEc:wly:navres:v:59:y:2012:i:5:p:340-361
    DOI: 10.1002/nav.21491
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    References listed on IDEAS

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    1. Shing Chih Tsai & Barry L. Nelson & Jeremy Staum, 2009. "Combined Screening and Selection of the Best with Control Variates," International Series in Operations Research & Management Science, in: Christos Alexopoulos & David Goldsman & James R. Wilson (ed.), Advancing the Frontiers of Simulation, pages 263-289, Springer.
    2. Robert S. Sullivan & Jack C. Hayya & Ronny Schaul, 1982. "Efficiency of the Antithetic Variate Method for Simulating Stochastic Networks," Management Science, INFORMS, vol. 28(5), pages 563-572, May.
    3. Barry L. Nelson & Julie Swann & David Goldsman & Wheyming Song, 2001. "Simple Procedures for Selecting the Best Simulated System When the Number of Alternatives is Large," Operations Research, INFORMS, vol. 49(6), pages 950-963, December.
    4. Chimyung Kwon & Jeffrey D. Tew, 1994. "Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments," Management Science, INFORMS, vol. 40(8), pages 1021-1034, August.
    5. Justin Boesel & Barry L. Nelson & Seong-Hee Kim, 2003. "Using Ranking and Selection to “Clean Up” after Simulation Optimization," Operations Research, INFORMS, vol. 51(5), pages 814-825, October.
    6. S. S. Lavenberg & P. D. Welch, 1981. "A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations," Management Science, INFORMS, vol. 27(3), pages 322-335, March.
    7. Vadim Lesnevski & Barry L. Nelson & Jeremy Staum, 2007. "Simulation of Coherent Risk Measures Based on Generalized Scenarios," Management Science, INFORMS, vol. 53(11), pages 1756-1769, November.
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    9. Shing Tsai & Barry Nelson, 2010. "Fully sequential selection procedures with control variates," IISE Transactions, Taylor & Francis Journals, vol. 42(1), pages 71-82.
    10. Seong-Hee Kim & Barry L. Nelson, 2006. "On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation," Operations Research, INFORMS, vol. 54(3), pages 475-488, June.
    11. L. Jeff Hong, 2006. "Fully sequential indifference‐zone selection procedures with variance‐dependent sampling," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(5), pages 464-476, August.
    12. J. R. Wilson & A. A. B. Pritsker, 1984. "Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables," Management Science, INFORMS, vol. 30(12), pages 1459-1472, December.
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    14. Chun-Hung Chen & Enver Yücesan & Liyi Dai & Hsiao-Chang Chen, 2010. "Optimal budget allocation for discrete-event simulation experiments," IISE Transactions, Taylor & Francis Journals, vol. 42(1), pages 60-70.
    15. Barry L. Nelson, 1990. "Control Variate Remedies," Operations Research, INFORMS, vol. 38(6), pages 974-992, December.
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    Cited by:

    1. Shing Chih Tsai & Jun Luo & Chi Ching Sung, 2017. "Combined variance reduction techniques in fully sequential selection procedures," Naval Research Logistics (NRL), John Wiley & Sons, vol. 64(6), pages 502-527, September.

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