SEQUENTIAL RANKING AND SELECTION PROCEDURES AND SAMPLE COMPLEXITY
Ranking and selection (R&S) procedures are widely used for selecting the best among a set of candidate systems, where each candidate system is associated with a simulation model. In this thesis, we focus on three aspects on the sample com- plexity of the R&S problem. First, we develop a method for predicting the sample complexity. Second, we present Envelope Procedure (EP), a R&S procedure that delivers a probably approximately correct selection guarantee, and we provide a high probability upper bound on its sample complexity. We also prove a lower bound on the sample complexity for general R&S procedures. The performance of the EP is demonstrated by numerical experiments. Finally, we discuss some specific aspects and features of the EP in parallel computing environment and the sampling rules.
Parallel Computing; Ranking and Selection; Sample Complexity; simulation optimization; Operations research
Henderson, Shane G.
Resnick, Sidney Ira; Chen, Yudong
Ph. D., Operations Research
Doctor of Philosophy
dissertation or thesis