Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation

DOI10.1287/MNSC.41.12.1935MaRDI QIDQ4887768zbMATH OpenOpenAlexFDO

Authors Barry L. Nelson, Frank J. Matejcik

Publication date 5 January 1997

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.12.1935

zbMATH Keywords

simulationnumerical exampleexperiment designBonferroni inequalitycommon random numbersindifference-zone selectionmultiple-comparison inference

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99) Design of statistical experiments (62K99) Stochastic processes (60G99)

Recommendations

• Using Common Random Numbers and Control Variates in Multiple-Comparison Procedures
• An empirical evaluation of several methods to select the best system
• Some insights of using common random numbers in selection procedures
• Robust multiple comparisons under common random numbers
• A fully sequential procedure for indifference-zone selection in simulation

Cited in

(24)

• A new budget allocation framework for the expected opportunity cost
• A multi-objective selection procedure of determining a Pareto set
• Input-output uncertainty comparisons for discrete optimization via simulation
• Active learning for efficiently training emulators of computationally expensive mathematical models
• Fixed-width multiple-comparison procedures using common random numbers for steady-state simulations
• Selecting the best simulated system with weighted control-variate estimators
• Bayesian Optimization Allowing for Common Random Numbers
• Multiple comparisons with the best using common random numbers for steady-state simulations
• A fully sequential procedure for indifference-zone selection in simulation
• Ranking and selection: a new sequential Bayesian procedure for use with common random numbers
• Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs
• Selecting the Best Component of a Multivariate Normal Population
• Some insights of using common random numbers in selection procedures
• A restricted multinomial hybrid selection procedure
• Sharpening comparisons via Gaussian copulas and semidefinite programming
• Parameter rating by diffusion gradient
• SAMPLE SIZE DETERMINATION FOR MULTIPLE COMPARISONS WITH COMPONENTS OF A LINEAR FUNCTION OF MEAN VECTORS
• Comparison with a standard via all-pairwise comparisons
• Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation
• Sequential selection with unknown correlation structures
• Efficient ranking and selection in parallel computing environments
• Using Common Random Numbers and Control Variates in Multiple-Comparison Procedures
• Selection procedures for simulations with multiple constraints under independent and correlated sampling
• Knockout-tournament procedures for large-scale ranking and selection in parallel computing environments

This page was built for publication: Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4887768)