Optimal sampling laws for constrained simulation optimization on finite sets: the bivariate normal case

Authors:
Susan R. Hunter;Chun-Hung Chen;Raghu Pasupathy;Nugroho Artadi Pujowidianto;Loo Hay Lee;Chee Meng Yap
Affiliations:
Cornell University, Ithaca, NY;National Taiwan University, Taipei, Taiwan;Industrial and Systems Engineering, Virginia Tech, Blacksburg, VA;National University of Singapore, Singapore;National University of Singapore, Singapore;National University of Singapore, Singapore
Venue:
Proceedings of the Winter Simulation Conference
Year:
2011

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Abstract

Consider the context of selecting an optimal system from amongst a finite set of competing systems, based on a "stochastic" objective function and subject to a single "stochastic" constraint. In this setting, and assuming the objective and constraint performance measures have a bivariate normal distribution, we present a characterization of the optimal sampling allocation across systems. Unlike previous work on this topic, the characterized optimal allocations are asymptotically exact and expressed explicitly as a function of the correlation between the performance measures.