Fully sequential indifference-zone selection procedures with variance-dependent sampling
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 464-476 |
| Journal / Publication | Naval Research Logistics |
| Volume | 53 |
| Issue number | 5 |
| Publication status | Published - Aug 2006 |
| Externally published | Yes |
Link(s)
Abstract
Fully sequential indifference-zone selection procedures have been proposed in the simulation literature to select the system with the best mean performance from a group of simulated systems. However, the existing sequential indifference-zone procedures allocate an equal number of samples to the two systems in comparison even if their variances are drastically different. In this paper we propose new fully sequential indifference-zone procedures that allocate samples according to the variances. We show that the procedures work better than several existing sequential indifference-zone procedures when variances of the systems are different. © 2006 Wiley Periodicals, Inc.
Research Area(s)
- Brownian motion, Indifference-zone selection, Ranking and selection, Sequential analysis
Citation Format(s)
Fully sequential indifference-zone selection procedures with variance-dependent sampling. / Hong, L. Jeff.
In: Naval Research Logistics, Vol. 53, No. 5, 08.2006, p. 464-476.
In: Naval Research Logistics, Vol. 53, No. 5, 08.2006, p. 464-476.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
