Cited By
View all- Chick SGans NJefferson TFowler JIngalls R(2008)Update on economic approach to simulation selection problemsProceedings of the 40th Conference on Winter Simulation10.5555/1516744.1516807(297-304)Online publication date: 7-Dec-2008
Simulation selection problems: overview of an economic analysis
Abstract
This paper summarizes a new approach that we recently proposed for ranking and selection problems, one that maximizes the expected NPV of decisions made when using stochastic or discrete-event simulation. The expected NPV models not only the economic benefit from implementing a selected system, but also the marginal costs of simulation runs and discounting due to simulation analysis time. Our formulation assumes that facilities exist to simulate a fixed number of alternative systems, and we pose the problem as a "stoppable" Bayesian bandit problem. Under relatively general conditions, a Gittins index can be used to indicate which system to simulate or implement. We give an asymptotic approximation for the index that is appropriate when simulation outputs are normally distributed with known but potentially different variances for the different systems.
References
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Chen, C.-H., J. Lin, E. Yücesan, and S. E. Chick. 2000. Simulation budget allocation for further enhancing the efficiency of ordinal optimization. Discrete Event Dynamic Systems: Theory and Applications 10 (3): 251--270.
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Chernoff, H. 1961. Sequential tests for the mean of a normal distribution. In Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Volume 1, 79--91. University of California Press.
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- Simulation selection problems: overview of an economic analysis
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Published In
December 2006
2429 pages
ISBN:1424405017
- Editors:
- L. Felipe Perrone,
- Barry G. Lawson,
- Jason Liu,
- Frederick P. Wieland,
- General Chair:
- David Nicol,
- Program Chair:
- Richard Fujimoto
Sponsors
- IIE: Institute of Industrial Engineers
- ASA: American Statistical Association
- IEICE ESS: Institute of Electronics, Information and Communication Engineers, Engineering Sciences Society
- IEEE-CS\DATC: The IEEE Computer Society
- SIGSIM: ACM Special Interest Group on Simulation and Modeling
- NIST: National Institute of Standards and Technology
- (SCS): The Society for Modeling and Simulation International
- INFORMS-CS: Institute for Operations Research and the Management Sciences-College on Simulation
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Winter Simulation Conference
Publication History
Published: 03 December 2006
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- IIE
- ASA
- IEICE ESS
- IEEE-CS\DATC
- SIGSIM
- NIST
- (SCS)
- INFORMS-CS
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WSC '06 Paper Acceptance Rate 177 of 252 submissions, 70%;
Overall Acceptance Rate 3,413 of 5,075 submissions, 67%
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Cited By
View all- Chick SGans NJefferson TFowler JIngalls R(2008)Update on economic approach to simulation selection problemsProceedings of the 40th Conference on Winter Simulation10.5555/1516744.1516807(297-304)Online publication date: 7-Dec-2008
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