Cited By
View all- Kim SNelson BTew J(2007)Recent advances in ranking and selectionProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351576(162-172)Online publication date: 9-Dec-2007
Combined ranking and selection with control variates
Abstract
Nelson and Staum derived R&S procedures that employ control-variate estimators (CVs) instead of sample means to obtain more statistical efficiency. However, controlvariate estimators require more computational effort than sample means, and effective controls must be identified. We present a new CV screening procedure to avoid much of the computation cost. We also present a two-stage CV combined procedure which captures the ability to eliminate inferior systems in the first stage and the statistical efficiency of control variates for selection in the second stage. An empirical evaluation is provided.
References
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Bechhofer, R. E., T. J. Santner, and D. Goldsman. 1995. Design and analysis of experiments for statistical selection, screening and multiple comparisons. New York: John Wiley.
[2]
Boesel, J., B. L. Nelson, and S. Kim. 2003. Using ranking and selection to 'clean up' after simulation optimization. Operations Research 51:814--825.
[3]
Lavenberg, S. S., and P. D. Welch. 1981. A perspective on the use of control variables to increase the efficiency of Monte Carlo simulations. Management Science 27:322--335.
[4]
Nelson, B. L. 1990. Control-variate remedies. Operations Research 38:974--992.
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Nelson, B. L., and D. Goldsman. 2001. Comparisons with a standard in simulation experiments. Management Science 47:449--463.
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Nelson, B. L., and J. C. Hsu. 1993. Control-variate models of common random numbers for multiple comparisons with the best. Management Science 39:989--1001.
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Nelson, B. L., J. Swann, D. Goldsman, and W. Song. 2001. Simple procedures for selecting the best simulated system when the number of alternatives is large. Operations Research 49:950--963.
[8]
Nelson, B. L., and J. Staum. 2006. Control variates for screening, selection, and estimation of the best. ACM Transactions on Modeling and Computer Simulation 16:52--75.
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Rinott, Y. 1978. On two-stage selection procedures and related probability-inequalities. Communications in Statistics A7:799--811.
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Tsai, S. C. 2006. Ranking and selection using control-variate estimators. Proposal to Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois.
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Wilcox, R. R. 1984. A table for Rinott's selection procedure. Journal of Quality Technology 16:97--100.
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Information & Contributors
Information
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
Publisher
Winter Simulation Conference
Publication History
Published: 03 December 2006
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WSC06
Sponsor:
- IIE
- ASA
- IEICE ESS
- IEEE-CS\DATC
- SIGSIM
- NIST
- (SCS)
- INFORMS-CS
Acceptance Rates
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- Kim SNelson BTew J(2007)Recent advances in ranking and selectionProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351576(162-172)Online publication date: 9-Dec-2007
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