Abstract #301103

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JSM 2003 Abstract #301103
Activity Number: 333
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #301103
Title: Simulation Allocation for Selecting the Best Design with Correlated Sampling
Author(s): Michael C. Fu*+
Companies: University of Maryland
Address: Smith School of Business, College Park, MD, 20742-0001,
Keywords: simulation budget allocation ; Monte Carlo simulation ; sampling schemes ; multiple comparison procedures
Abstract:

We consider the problem of efficiently allocating simulation replications in order to maximize the probability of selecting the best design under the scenario in which system performances are sampled in the presence of correlation. In the case of two designs, we are able to derive the optimal allocation exactly, and find that in the presence of positive correlation, unless the variance of one design is significantly larger than that of the other, the number of simulation replications should be identical. In extending to a general number of competing designs, an approximation for the asymptotically optimal allocation is obtained. The approximation coincides with the independent case derived previously in the limit as the correlation vanishes, and the allocations prescribed by the results seem to match intuition, in terms of the relationship to correlations and relative variances between designs.An allocation algorithm based on the approximation is proposed and illustrated on a small numerical example.

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