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

DOI10.1287/MNSC.41.12.1935zbMATH Open0853.65149OpenAlexW2166274157MaRDI QIDQ4887768FDOQ4887768

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

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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)

Cited In (24)

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

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