Efficient simulation budget allocation for subset selection using regression metamodels
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Publication:2280765
Abstract: This research considers the ranking and selection (R&S) problem of selecting the optimal subset from a finite set of alternative designs. Given the total simulation budget constraint, we aim to maximize the probability of correctly selecting the top-m designs. In order to improve the selection efficiency, we incorporate the information from across the domain into regression metamodels. In this research, we assume that the mean performance of each design is approximately quadratic. To achieve a better fit of this model, we divide the solution space into adjacent partitions such that the quadratic assumption can be satisfied within each partition. Using the large deviation theory, we propose an approximately optimal simulation budget allocation rule in the presence of partitioned domains. Numerical experiments demonstrate that our approach can enhance the simulation efficiency significantly.
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Cites work
- scientific article; zbMATH DE number 3176492 (Why is no real title available?)
- A Simulation Budget Allocation Procedure for Enhancing the Efficiency of Optimal Subset Selection
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- An efficient simulation budget allocation method incorporating regression for partitioned domains
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Cited in
(8)- Optimal computing budget allocation for regression with gradient information
- Simulation budget allocation for simultaneously selecting the best and worst subsets
- Efficient simulation budget allocation for ranking the top \(m\) designs
- Optimal computing budget allocation for selecting the optimal subset of multi-objective simulation optimization problems
- Contextual ranking and selection with Gaussian processes and optimal computing budget allocation
- An efficient simulation procedure for ranking the top simulated designs in the presence of stochastic constraints
- An efficient simulation procedure for the expected opportunity cost using metamodels
- An efficient simulation budget allocation method incorporating regression for partitioned domains
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