Comparing systems via stochastic simulation: selection-of-the-best procedures for optimization via simulation

Authors:
Juta Pichitlamken;Barry L. Nelson
Affiliations:
Northwestern University, Evanston, IL;Northwestern University, Evanston, IL
Venue:
Proceedings of the 33nd conference on Winter simulation
Year:
2001

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Abstract

We propose fully sequential indifference-zone selection procedures that are specifically for use within an optimization-via-simulation algorithm when simulation is costly and partial or complete information on solutions previously visited is maintained. Sequential Selection with Memory guarantees to select the best or near-best alternative with a user-specified probability when some solutions have already been sampled and their previous samples are retained. For the case when only summary information is retained, we derive a modified procedure. We illustrate how our procedure can be applied to optimization-via-simulation problems and compare its performance with other methods by numerical examples.