Selecting the best by comparing simulated systems in a group of three when variances are known and unequal

Authors:
A. B. Dieker;Seong-Hee Kim
Affiliations:
Georgia Institute of Technology, Atlanta, GA;Georgia Institute of Technology, Atlanta, GA
Venue:
Proceedings of the Winter Simulation Conference
Year:
2012

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Selecting the best by comparing simulated systems in a group of three

Proceedings of the Winter Simulation Conference

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Abstract

This paper presents a fully sequential procedure for selecting the best system among a finite number of simulated systems with variances that are known but not necessarily equal. Our procedure compares systems in groups of three and is based on exit properties of a bivariate Brownian motion from an ellipse. The procedure is a modification of the one proposed in Kim and Dieker (2011) for the equal-variance case.