Performance measures for ranking and selection procedures

Authors:
Rolf Waeber;Peter I. Frazier;Shane G. Henderson
Affiliations:
Cornell University, Ithaca, NY;Cornell University, Ithaca, NY;Cornell University, Ithaca, NY
Venue:
Proceedings of the Winter Simulation Conference
Year:
2010

Citing 5
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Abstract

To efficiently compare Ranking and Selection procedures, we present a three-layer performance evaluation process. The two most popular formulations, namely the Bayes and Indifference Zone formulations, have a common representation analogous to convex risk measures used in quantitative risk management. We study decision makers' acceptance sets via an axiomatic approach and introduce a new performance measure using computational cost.