Efficient Simulation Budget Allocation for Ranking the Top m Designs

Abstract EN

We consider the problem of ranking the top m designs out of k alternatives.

Using the optimal computing budget allocation framework, we formulate this problem as that of maximizing the probability of correctly ranking the top m designs subject to the constraint of a fixed limited simulation budget.

We derive the convergence rate of the false ranking probability based on the large deviation theory.

The asymptotically optimal allocation rule is obtained by maximizing this convergence rate function.

To implement the simulation budget allocation rule, we suggest a heuristic sequential algorithm.

Numerical experiments are conducted to compare the effectiveness of the proposed simulation budget allocation rule.

The numerical results indicate that the proposed asymptotically optimal allocation rule performs the best comparing with other allocation rules.