Some guidelines and guarantees for common random numbers
Management Science
Effect of correlated estimation errors in ordinal optimization
WSC '92 Proceedings of the 24th conference on Winter simulation
Rates of convergence of ordinal comparison for dependent discrete event dynamic systems
Journal of Optimization Theory and Applications
New development of optimal computing budget allocation for discrete event simulation
Proceedings of the 29th conference on Winter simulation
A fully sequential procedure for indifference-zone selection in simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Comparing systems via stochastic simulation: an enhanced two-stage selection procedure
Proceedings of the 32nd conference on Winter simulation
Simulation Budget Allocation for Further Enhancing theEfficiency of Ordinal Optimization
Discrete Event Dynamic Systems
New Two-Stage and Sequential Procedures for Selecting the Best Simulated System
Operations Research
Special topics on simulation analysis: better-than-optimal simulation run allocation?
Proceedings of the 35th conference on Winter simulation: driving innovation
Optimal computing budget allocation under correlated sampling
WSC '04 Proceedings of the 36th conference on Winter simulation
Simulation optimization: a review, new developments, and applications
WSC '05 Proceedings of the 37th conference on Winter simulation
Some topics for simulation optimization
Proceedings of the 40th Conference on Winter Simulation
A preliminary study of optimal splitting for rare-event simulation
Proceedings of the 40th Conference on Winter Simulation
Simulation optimization using the cross-entropy method with optimal computing budget allocation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Optimal computing budget allocation for constrained optimization
Winter Simulation Conference
The Knowledge-Gradient Algorithm for Sequencing Experiments in Drug Discovery
INFORMS Journal on Computing
Ranking and selection with unknown correlation structures
Proceedings of the Winter Simulation Conference
Value of information methods for pairwise sampling with correlations
Proceedings of the Winter Simulation Conference
Combining simulation allocation and optimal splitting for rare-event simulation optimization
Proceedings of the Winter Simulation Conference
Some insights of using common random numbers in selection procedures
Discrete Event Dynamic Systems
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We consider the problem of efficiently allocating simulation replications in order to maximize the probability of selecting the best design under the scenario in which system performances are sampled in the presence of correlation. In the case of two designs, we are able to derive the optimal allocation exactly, and find that in the presence of positive correlation, unless the variance of one design is significantly larger than that of the other, the number of simulation replications should be identical. In extending to a general number of competing designs, an approximation for the asymptotically optimal allocation is obtained. The approximation coincides with the independent case derived previously in the limit as the correlation vanishes and also agrees with the two-design exact solution. Furthermore, the allocations prescribed by the results seem to match intuition, in terms of the relationship to correlations and relative variances between designs, again suggesting that equal allocation is optimal for sufficiently high positive correlation. An allocation algorithm based on the approximation is proposed and tested on several numerical examples.