A new framework of designing sequential ranking-and-selection procedures

Ying Zhong; L. Jeff Hong

doi:10.1109/WSC.2017.8247955

A new framework of designing sequential ranking-and-selection procedures

Department of Economics and Finance

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

6 Citations (Scopus)

Abstract

Many classical sequential procedures model the partial sum difference process between two competing alternatives as a Brownian motion process. In this paper, the marginal probability of eliminating the best alternative is considered while modeling the partial sum difference process. We adaptively allocate the total amount of the probability of incorrect selection α to every time point where the comparisons between alternatives are conducted and set the continuation regions to ensure the marginal probability of eliminating the best alternative does not exceed the probability assigned to each time point t. We show by examples that under our framework, the procedure can be easily developed for both indifference-zone (IZ) and IZ free formulations.

Original language	English
Title of host publication	Proceedings of the 2017 Winter Simulation Conference (WSC)
Editors	W. K. V. Chan, A. D’Ambrogio, G. Zacharewicz, N. Mustafee, G. Wainer, E. Page
Publisher	IEEE
Pages	2237-2244
ISBN (Electronic)	978-1-5386-3428-8
DOIs	https://doi.org/10.1109/WSC.2017.8247955
Publication status	Published - Dec 2017
Event	2017 Winter Simulation Conference, WSC 2017 - Las Vegas, United States Duration: 3 Dec 2017 → 6 Dec 2017 http://meetings2.informs.org/wordpress/wsc2017/

Conference

Conference	2017 Winter Simulation Conference, WSC 2017
Abbreviated title	WSC 2017
Place	United States
City	Las Vegas
Period	3/12/17 → 6/12/17
Internet address	http://meetings2.informs.org/wordpress/wsc2017/

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@inproceedings{725a5145abc54fa981566e56ff131619,

title = "A new framework of designing sequential ranking-and-selection procedures",

abstract = "Many classical sequential procedures model the partial sum difference process between two competing alternatives as a Brownian motion process. In this paper, the marginal probability of eliminating the best alternative is considered while modeling the partial sum difference process. We adaptively allocate the total amount of the probability of incorrect selection α to every time point where the comparisons between alternatives are conducted and set the continuation regions to ensure the marginal probability of eliminating the best alternative does not exceed the probability assigned to each time point t. We show by examples that under our framework, the procedure can be easily developed for both indifference-zone (IZ) and IZ free formulations.",

author = "Ying Zhong and Hong, \{L. Jeff\}",

year = "2017",

month = dec,

doi = "10.1109/WSC.2017.8247955",

language = "English",

pages = "2237--2244",

editor = "Chan, \{W. K. V. \} and A. D{\textquoteright}Ambrogio and G. Zacharewicz and N. Mustafee and G. Wainer and E. Page",

booktitle = "Proceedings of the 2017 Winter Simulation Conference (WSC)",

publisher = "IEEE",

address = "United States",

note = "2017 Winter Simulation Conference, WSC 2017, WSC 2017 ; Conference date: 03-12-2017 Through 06-12-2017",

url = "http://meetings2.informs.org/wordpress/wsc2017/",

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Zhong, Y & Hong, LJ 2017, A new framework of designing sequential ranking-and-selection procedures. in WKV Chan, A D’Ambrogio, G Zacharewicz, N Mustafee, G Wainer & E Page (eds), Proceedings of the 2017 Winter Simulation Conference (WSC). IEEE, pp. 2237-2244, 2017 Winter Simulation Conference, WSC 2017, Las Vegas, Nevada, United States, 3/12/17. https://doi.org/10.1109/WSC.2017.8247955

A new framework of designing sequential ranking-and-selection procedures. / Zhong, Ying ; Hong, L. Jeff.
Proceedings of the 2017 Winter Simulation Conference (WSC). ed. / W. K. V. Chan; A. D’Ambrogio; G. Zacharewicz; N. Mustafee; G. Wainer; E. Page. IEEE, 2017. p. 2237-2244.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

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AB - Many classical sequential procedures model the partial sum difference process between two competing alternatives as a Brownian motion process. In this paper, the marginal probability of eliminating the best alternative is considered while modeling the partial sum difference process. We adaptively allocate the total amount of the probability of incorrect selection α to every time point where the comparisons between alternatives are conducted and set the continuation regions to ensure the marginal probability of eliminating the best alternative does not exceed the probability assigned to each time point t. We show by examples that under our framework, the procedure can be easily developed for both indifference-zone (IZ) and IZ free formulations.

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M3 - RGC 32 - Refereed conference paper (with host publication)

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ER -

A new framework of designing sequential ranking-and-selection procedures

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