Sequential Bayes-Optimal Policies for Multiple Comparisons with a Known Standard

We consider the problem of efficiently allocating simulation effort to determine which of several simulated systems have mean performance exceeding a threshold of known value. Within a Bayesian formulation of this problem, the optimal fully sequential policy for allocating simulation effort is the s...

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Veröffentlicht in:	Operations research 2013-09, Vol.61 (5), p.1174-1189
Hauptverfasser:	Xie, Jing, Frazier, Peter I.
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Bayesian analysis Bayesian statistical decision theory Bayesian statistics Computer simulation Computer-generated environments Dynamic programming METHODS multiple comparisons with a standard Optimization techniques Resource allocation sequential experimental design Simulation Statistical inference Studies value of information
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