Fully sequential indifference-zone selection procedures with variance-dependent sampling

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

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Original languageEnglish
Pages (from-to)464-476
Journal / PublicationNaval Research Logistics
Issue number5
Publication statusPublished - Aug 2006
Externally publishedYes


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