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SEQUENTIAL RANKING AND SELECTION PROCEDURES AND SAMPLE COMPLEXITY

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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.

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2018-12-30

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Parallel Computing; Ranking and Selection; Sample Complexity; simulation optimization; Operations research

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Henderson, Shane G.

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Resnick, Sidney Ira
Chen, Yudong

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Operations Research

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Ph. D., Operations Research

Degree Level

Doctor of Philosophy

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Government Document

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dissertation or thesis

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