Efficient simulation budget allocation for subset selection using regression metamodels

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

8 Scopus Citations
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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)192-200
Journal / PublicationAutomatica
Volume106
Online published20 May 2019
Publication statusPublished - Aug 2019

Abstract

This research considers the ranking and selection (R&S)problem of selecting the optimal subset from a finite set of alternative designs. Given the total simulation budget constraint, we aim to maximize the probability of correctly selecting the top-m designs. In order to improve the selection efficiency, we incorporate the information from across the domain into regression metamodels. In this research, we assume that the mean performance of each design is approximately quadratic. To achieve a better fit of this model, we divide the solution space into adjacent partitions such that the quadratic assumption can be satisfied within each partition. Using the large deviation theory, we propose an approximately optimal simulation budget allocation rule in the presence of partitioned domains. Numerical experiments demonstrate that our approach can enhance the simulation efficiency significantly.

Research Area(s)

  • OCBA, Ranking and selection, Regression, Simulation optimization, Subset selection

Citation Format(s)