Robust ranking and selection with optimal computing budget allocation

DOI10.1016/j.automatica.2017.03.019zbMath1372.93217OpenAlexW2607129756MaRDI QIDQ2409209

Hui Xiao, Enlu Zhou, Siyang Gao, Wei-Wei Chen

Publication date: 11 October 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2017.03.019

zbMATH Keywords

robust optimizationranking and selectionsimulation optimizationoptimal computing budget allocation (OCBA)

Mathematics Subject Classification ID

Related Items (7)

Optimal computing budget allocation for regression with gradient information ⋮ Ranking and selection for pairwise comparison ⋮ On the finite-sample statistical validity of adaptive fully sequential procedures ⋮ Convergence rate analysis for optimal computing budget allocation algorithms ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ Input–Output Uncertainty Comparisons for Discrete Optimization via Simulation ⋮ Efficient simulation budget allocation for subset selection using regression metamodels

Cites Work

• Efficient subset selection for the expected opportunity cost
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Worst-case robust decisions for multi-period mean-variance portfolio optimization
• Quantifying Input Uncertainty via Simulation Confidence Intervals
• Selecting the Best Simulated Design With the Expected Opportunity Cost Bound
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Selecting a Selection Procedure
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• On two-stage selection procedures and related probability-inequalities
• A fully sequential procedure for indifference-zone selection in simulation

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