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Efficient simulation budget allocation for subset selection using regression metamodels
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OA
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DOI：10.1016/j.automatica.2019.05.022.png)
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摘要
En 中文
This research considers the ranking and selection (R&S) problem of selecting the optimal subset from a finite set of alternative designs. Given the total simulation budget constraint, we aim to maximize the probability of correctly selecting the top-m designs. In order to improve the selection efficiency, we incorporate the information from across the domain into regression metamodels. In this research, we assume that the mean performance of each design is approximately quadratic. To achieve a better fit of this model, we divide the solution space into adjacent partitions such that the quadratic assumption can be satisfied within each partition. Using the large deviation theory, we propose an approximately optimal simulation budget allocation rule in the presence of partitioned domains. Numerical experiments demonstrate that our approach can enhance the simulation efficiency significantly. (C) 2019 Elsevier Ltd. All rights reserved.
Keyword:
Simulation optimization
Ranking and selection
OCBA
Subset selection
Regression
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期刊
IF:
5.9
论文数:
1.2W
被引数:
5.2W
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A Simulation Budget Allocation Procedure for Enhancing the Efficiency of Optimal Subset Selection
PREAI
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