A new framework of designing sequential ranking-and-selection procedures

Ying Zhong; L. Jeff Hong

doi:10.1109/WSC.2017.8247955

A new framework of designing sequential ranking-and-selection procedures

Ying Zhong, L. Jeff Hong

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

3 Scopus citations

Abstract

Many classical sequential procedures model the partial sum difference process between two competing alternatives as a Brownian motion process. In this paper, the marginal probability of eliminating the best alternative is considered while modeling the partial sum difference process. We adaptively allocate the total amount of the probability of incorrect selection α to every time point where the comparisons between alternatives are conducted and set the continuation regions to ensure the marginal probability of eliminating the best alternative does not exceed the probability assigned to each time point t. We show by examples that under our framework, the procedure can be easily developed for both indifference-zone (IZ) and IZ free formulations.

Original language	English (US)
Title of host publication	2017 Winter Simulation Conference, WSC 2017
Editors	Victor Chan
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	2237-2244
Number of pages	8
ISBN (Electronic)	9781538634288
DOIs	https://doi.org/10.1109/WSC.2017.8247955
State	Published - Jun 28 2017
Externally published	Yes
Event	2017 Winter Simulation Conference, WSC 2017 - Las Vegas, United States Duration: Dec 3 2017 → Dec 6 2017

Publication series

Name	Proceedings - Winter Simulation Conference
ISSN (Print)	0891-7736

Conference

Conference	2017 Winter Simulation Conference, WSC 2017
Country/Territory	United States
City	Las Vegas
Period	12/3/17 → 12/6/17

Bibliographical note

Publisher Copyright:
© 2017 IEEE.

Publisher link

10.1109/WSC.2017.8247955

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A new framework of designing sequential ranking-and-selection procedures. / Zhong, Ying; Hong, L. Jeff.
2017 Winter Simulation Conference, WSC 2017. ed. / Victor Chan. Institute of Electrical and Electronics Engineers Inc., 2017. p. 2237-2244 (Proceedings - Winter Simulation Conference).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Zhong, Y & Hong, LJ 2017, A new framework of designing sequential ranking-and-selection procedures. in V Chan (ed.), 2017 Winter Simulation Conference, WSC 2017. Proceedings - Winter Simulation Conference, Institute of Electrical and Electronics Engineers Inc., pp. 2237-2244, 2017 Winter Simulation Conference, WSC 2017, Las Vegas, United States, 12/3/17. https://doi.org/10.1109/WSC.2017.8247955

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AB - Many classical sequential procedures model the partial sum difference process between two competing alternatives as a Brownian motion process. In this paper, the marginal probability of eliminating the best alternative is considered while modeling the partial sum difference process. We adaptively allocate the total amount of the probability of incorrect selection α to every time point where the comparisons between alternatives are conducted and set the continuation regions to ensure the marginal probability of eliminating the best alternative does not exceed the probability assigned to each time point t. We show by examples that under our framework, the procedure can be easily developed for both indifference-zone (IZ) and IZ free formulations.

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A new framework of designing sequential ranking-and-selection procedures

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