Ranking and Selection as Stochastic Control

DOI10.1109/TAC.2018.2797188MaRDI QIDQ4682288zbMATH OpenOpenAlexFDO

Authors Yijie Peng, Edwin K. P. Chong, Chun-Hung Chen, Michael C. Fu

Publication date 18 September 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.02619

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Bayesian inference (62F15) Optimal stochastic control (93E20)

Abstract: Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function approximation, we derive an approximately optimal allocation policy. We show that this policy is not only computationally efficient but also possesses both one-step-ahead and asymptotic optimality for independent normal sampling distributions. Moreover, the proposed allocation policy is easily generalizable in the approximate dynamic programming paradigm.

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