Optimal computing budget allocation under correlated sampling

Authors:
Michael C. Fu;Jian-Qiang Hu;Chun-Hung Chen;Xiaoping Xiong
Affiliations:
University of Maryland, College Park, MD;Boston University, Brookline, MA;George Mason University, Fairfax, VA;University of Maryland, College Park, MD
Venue:
WSC '04 Proceedings of the 36th conference on Winter simulation
Year:
2004

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Abstract

We consider the optimal computing budget allocation (OCBA) problem where the simulated designs are correlated. The exact optimal allocation is presented for two designs, and an approximation proposed for more than two designs. Numerical experiments for several examples compare the approximation with some other allocation procedures. Results on convergence rates and the non-Gaussian setting are also discussed.