Sequential Bayes-optimal policies for multiple comparisons with a known standard

DOI10.1287/OPRE.2013.1207MaRDI QIDQ5166273zbMATH OpenOpenAlexFDO

Authors Peter I. Frazier, Jing Xie

Publication date 26 June 2014

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/09e6a9111092c29561056cf9818607ad5f74188b

zbMATH Keywords

Bayesian statisticsdynamic programmingvalue of informationsequential experimental designmultiple comparisons with a standard

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39) Stochastic programming (90C15)

Recommendations

• An empirical evaluation of several methods to select the best system
• Dynamic sampling allocation and design selection
• Comparison with a standard via fully sequential procedures
• Optimal adaptive policies for sequential allocation problems
• Dynamic allocation policies for the finite horizon one armed bandit problem

Cited in

(8)

• Nonstationary bandits with habituation and recovery dynamics
• Selection of the best in the presence of subjective stochastic constraints
• The local time method for targeting and selection
• Simulation-based sequential Bayesian design
• Optimal computing budget allocation for selecting the optimal subset of multi-objective simulation optimization problems
• Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination
• Simple Bayesian algorithms for best-arm identification
• Finding Feasible Systems for Subjective Constraints Using Recycled Observations

This page was built for publication: Sequential Bayes-optimal policies for multiple comparisons with a known standard

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5166273)