Efficient simulation budget allocation for subset selection using regression metamodels

DOI10.1016/J.AUTOMATICA.2019.05.022zbMATH Open1429.93223arXiv1904.10639OpenAlexW2941322302WikidataQ127851973 ScholiaQ127851973MaRDI QIDQ2280765FDOQ2280765

Authors: Fei Gao, Zhongshun Shi, Siyang Gao, Hui Xiao 

Publication date: 19 December 2019

Published in: Automatica (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1904.10639

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zbMATH Keywords

regressionranking and selectionsubset selectionsimulation optimizationOCBA

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Discrete event control/observation systems (93C65) Mathematical modeling or simulation for problems pertaining to systems and control theory (93-10)

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Cited In (6)

• 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
• 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

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