Optimal selection probability in the two-stage nested partitions method for simulation-based optimization

Authors:
Sigurdur Ólafsson;Nithin Gopinath
Affiliations:
Iowa State University, Ames, IA;Iowa State University, Ames, IA
Venue:
Proceedings of the 32nd conference on Winter simulation
Year:
2000

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Abstract

We investigate a new algorithm for simulation-based optimization where the number of alternatives is finite but very large. This algorithm draws on recent work in adaptive random search and from ranking-and-selection. We show how the ranking-and-selection approach can significantly improve performance of the random search and demonstrate the importance of the probability of correct selection.