Posterior-Based Stopping Rules for Bayesian Ranking-and-Selection Procedures

DOI10.1287/IJOC.2021.1132MaRDI QIDQ5087734zbMATH OpenOpenAlexWikidataFDO

Authors David J. Eckman, Shane G. Henderson

Publication date 1 July 2022

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.2021.1132

zbMATH Keywords

Bayesian statisticsranking and selectionsequential procedures

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 3586334 (Why is no real title available?)
• A fully sequential procedure for indifference-zone selection in simulation
• A sequential procedure for neighborhood selection-of-the-best in optimization via simulation
• Action elimination and stopping conditions for the multi-armed bandit and reinforcement learning problems
• Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs
• Dynamic sampling allocation and design selection
• Efficient ranking and selection in parallel computing environments
• Estimating the Probability that a Function Observed with Noise Is Convex
• Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environments
• Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario
• Handbooks in operations research and management science: Simulation
• Optimal Statistical Decisions
• Ranking and Selection as Stochastic Control
• Selecting a selection procedure
• Sequential sampling to myopically maximize the expected value of information
• Simple Bayesian algorithms for best-arm identification
• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Stochastic simulation: Algorithms and analysis
• THE SIGNIFICANCE OF THE DIFFERENCE BETWEEN TWO MEANS WHEN THE POPULATION VARIANCES ARE UNEQUAL
• The knowledge-gradient policy for correlated normal beliefs
• Using Ranking and Selection to “Clean Up” after Simulation Optimization
• Vectorized adaptive quadrature in MATLAB

Cited in

(1)

• Marginal improvement procedures for top-\(m\) selection

Describes a project that uses

Uses Software

• quadva
• convexity
• quadgk

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