Combined ranking and selection with control variates

Authors:
Shing Chih Tsai;Barry L. Nelson
Affiliations:
Northwestern University, Evanston, IL;Northwestern University, Evanston, IL
Venue:
Proceedings of the 38th conference on Winter simulation
Year:
2006

Citing 6
Cited 1

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Abstract

Nelson and Staum derived R&S procedures that employ control-variate estimators (CVs) instead of sample means to obtain more statistical efficiency. However, controlvariate estimators require more computational effort than sample means, and effective controls must be identified. We present a new CV screening procedure to avoid much of the computation cost. We also present a two-stage CV combined procedure which captures the ability to eliminate inferior systems in the first stage and the statistical efficiency of control variates for selection in the second stage. An empirical evaluation is provided.