Robust selection of the best

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review

12 Scopus Citations
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Author(s)

Detail(s)

Original languageEnglish
Title of host publicationProceedings of the 2013 Winter Simulation Conference
Subtitle of host publicationSIMULATION: Making Decisions in a Complex World
PublisherIEEE
Pages868-876
ISBN (Electronic)9781479939503
Publication statusPublished - Dec 2013
Externally publishedYes

Publication series

NameSimulation Winter Conference
PublisherIEEE
ISSN (Print)0891-7736
ISSN (Electronic)1558-4305

Conference

Title43rd Winter Simulation Conference, WSC 2013 - Simulation: Making Decisions in a Complex World
PlaceUnited States
CityWashington, DC
Period8 - 11 December 2013

Abstract

Classical ranking-and-selection (R&S) procedures cannot be applied directly to select the best decision in the presence of distributional ambiguity. In this paper we propose a robust selection-of-the-best (RSB) formulation which compares decisions based on their worst-case performances over a finite set of possible distributions and selects the decision with the best worst-case performance. To solve the RSB problems, we design two-layer R&S procedures, either two-stage or fully sequential, under the indifference-zone formulation. The procedure identifies the worst-case distribution in the first stage and the best decision in the second. We prove the statistical validity of these procedures and test their performances numerically.

Citation Format(s)

Robust selection of the best. / Fan, Weiwei; Hong, L. Jeff; Zhang, Xiaowei.

Proceedings of the 2013 Winter Simulation Conference: SIMULATION: Making Decisions in a Complex World. IEEE, 2013. p. 868-876 6721478 (Simulation Winter Conference).

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review