A transient means ranking and selection procedure with sequential sampling constraints

Authors:
Douglas J. Morrice;Mark W. Brantley;Chun-Hung Chen
Affiliations:
The University of Texas at Austin, Austin, TX;George Mason University, Fairfax, VA;George Mason University, Fairfax, VA
Venue:
Winter Simulation Conference
Year:
2009

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Abstract

We develop a Ranking and Selection procedure for selecting the best configuration based on a transient mean performance measure. The procedure extends the OCBA approach to systems whose means are a function of some other variable such as time. In particular, we characterize this as a prediction problem and imbed a regression model in the OCBA procedure. In this paper, we analyze a problem with sequential sampling constraints for each configuration and offer a heuristic to use a polynomial regression model when variance reduction is possible.