Optimal computing budget allocation for multi-objective simulation models

  • Authors:
  • Loo Hay Lee;Ek Peng Chew;Suyan Teng;David Goldsman

  • Affiliations:
  • National University of Singapore, Singapore;National University of Singapore, Singapore;National University of Singapore, Singapore;Georgia Institute of Technology, Atlanta, GA

  • Venue:
  • WSC '04 Proceedings of the 36th conference on Winter simulation
  • Year:
  • 2004

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Abstract

Simulation plays a vital role in identifying the best system design from among a set of competing designs. To improve simulation efficiency, ranking and selection techniques are often used to determine the number of simulation replications required so that a pre-specified level of correct selection is guaranteed at a modest possible computational expense. As most real-life systems are multi-objective in nature, in this paper, we consider a multi-objective ranking and selection problem, where the system designs are evaluated in terms of more than one performance measure. We incorporate the concept of Pareto optimality into the ranking and selection scheme, and try to find all of the non-dominated designs rather than a single "best" one. A simple sequential solution method is proposed to allocate the simulation replications. Computational results show that the proposed algorithm is efficient in terms of the total number of replications needed to find the Pareto set.